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.
Dynamic Programming via Measurable Selection / CERQUETI, ROY. - In: PACIFIC JOURNAL OF OPTIMIZATION. - ISSN 1348-9151. - 5(1):(2009), pp. 169-181.
Dynamic Programming via Measurable Selection
CERQUETI, ROY
2009
Abstract
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.File allegati a questo prodotto
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