Dynamic Programming via Measurable Selection
Cerqueti, R (2009). Dynamic Programming via Measurable Selection. Pacific Journal of Optimization. 5 (1), pp. 169-181.
The aim of this paper is to provide the proof of a Dynamic Programming Principle for a certain class of stochastic control problems with exit time. To this end, a Measurable Selection Theorem is also proved.
|Keywords||Dynamic Programming; Stochastic Optimal Control; Exit Time; Measurable Selection|
|Journal||Pacific Journal of Optimization|
|Journal citation||5 (1), pp. 169-181|
|01 Apr 2009|
|Publication process dates|
|Accepted||01 Apr 2009|
|Deposited||01 Apr 2020|
|Accepted author manuscript|
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