TY - JOUR
T1 - OPTIMAL CONTROL OF RANDOM EVOLUTIONS.
AU - Bensoussan, A.
PY - 1981
Y1 - 1981
N2 - A stochastic control problem for a random evolution is considered. The Bellman equation of the problem is studied. The existence of an optimal stochastic control, which is Markovian is proved. This problem mkes it possible to approximate the general problem of the optimal control of solutions of stochastic differential equations.
AB - A stochastic control problem for a random evolution is considered. The Bellman equation of the problem is studied. The existence of an optimal stochastic control, which is Markovian is proved. This problem mkes it possible to approximate the general problem of the optimal control of solutions of stochastic differential equations.
UR - http://www.scopus.com/inward/record.url?scp=0019697135&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0019697135&origin=recordpage
U2 - 10.1080/17442508108833180
DO - 10.1080/17442508108833180
M3 - RGC 21 - Publication in refereed journal
SN - 0090-9491
VL - 5
SP - 169
EP - 199
JO - Stochastics
JF - Stochastics
IS - 3
ER -