Some asymptotic properties of stochastic control problems with performance indices averaged on infinite time interval

V. G. Gaitsgory

Some asymptotic properties of stochastic control problems with performance indices averaged on infinite time interval

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

Abstract

Existence and convexity of a limit outputs set is proved. Some asymptotic version of Lagrange's multipliers method is established. Estimates of optimal values to particular stochastic control problems are given.

Original language	English
Title of host publication	IFAC Proceedings Series
Editors	N.K. Sinha, L.A. Telksnys
Place of Publication	Oxford; New York
Publisher	Pergamon Press
Pages	411-414
Number of pages	4
Edition	2
ISBN (Print)	0080334520
Publication status	Published - 1987
Externally published	Yes

Cite this

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title = "Some asymptotic properties of stochastic control problems with performance indices averaged on infinite time interval",

abstract = "Existence and convexity of a limit outputs set is proved. Some asymptotic version of Lagrange's multipliers method is established. Estimates of optimal values to particular stochastic control problems are given.",

author = "Gaitsgory, {V. G.}",

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Some asymptotic properties of stochastic control problems with performance indices averaged on infinite time interval. / Gaitsgory, V. G.

IFAC Proceedings Series. ed. / N.K. Sinha; L.A. Telksnys. 2. ed. Oxford; New York : Pergamon Press, 1987. p. 411-414.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

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PB - Pergamon Press

CY - Oxford; New York

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Some asymptotic properties of stochastic control problems with performance indices averaged on infinite time interval

Abstract

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