Abstract:
Problems in the control of continuous Markov processes on a semicompactum by two players with conflicting interests are studied. The basic content of the paper is a derivation of Bellman's equations in the case where control is exercised for an infinite time (Theorem 3), and in the case of a problem of optimal stopping (Theorem 6). The results are illustrated by two examples (Theorems 1 and 2).
\Bibitem{Kry71}
\by N.~V.~Krylov
\paper Control of Markov processes and $W$-spaces
\jour Math. USSR-Izv.
\yr 1971
\vol 5
\issue 1
\pages 233--266
\mathnet{http://mi.mathnet.ru/eng/im1955}
\crossref{https://doi.org/10.1070/IM1971v005n01ABEH001040}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=295427}
\zmath{https://zbmath.org/?q=an:0274.93049}
Linking options:
https://www.mathnet.ru/eng/im1955
https://doi.org/10.1070/IM1971v005n01ABEH001040
https://www.mathnet.ru/eng/im/v35/i1/p224
This publication is cited in the following 20 articles:
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