On Extremal Solutions to Stochastic Control Problems

Borkar, Vivek S (1991) On Extremal Solutions to Stochastic Control Problems. In: Applied Mathematics and Optimization, 24 (1). pp. 317-330.

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Abstract

We identify two solutions of a controlled diffusion if the corresponding one-dimensional marginals of the state and control process agree.The extreme points of the set of such equivalence classes are shown to correspond to Markov controls.

Item Type:	Journal Article
Additional Information:	Copyright of this article is belong to Springer.
Keywords:	Optimal stochastic control;Controlled diffusion;Extremal solutions;Markov controls;Marginal classes.
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	02 Nov 2006
Last Modified:	19 Sep 2010 04:31
URI:	http://eprints.iisc.ernet.in/id/eprint/8632

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