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Stochastic Systems: Modeling, Identification and Optimization, II pp 125–153Cite as

Controls optimal from time t onward and dynamic programming for systems of controlled jump processes

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Part of the book series: Mathematical Programming Studies ((MATHPROGRAMM,volume 6))

Abstract

For controlled jump processes necessary and sufficient conditions for optimality from time t onward are derived. The methods used are purely analytical as contrasted to path analysis methods involving martingale theory.

This work was supported by the National Science Foundation under grant GP-37681

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References

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Author information

Authors and Affiliations

  1. University of Kentucky, Lexington, Ky., USA

    Raymond Rishel

Authors
  1. Raymond Rishel
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Roger J.- B. Wets

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© 1976 The Mathematical Programming Society

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Rishel, R. (1976). Controls optimal from time t onward and dynamic programming for systems of controlled jump processes. In: Wets, R.J.B. (eds) Stochastic Systems: Modeling, Identification and Optimization, II. Mathematical Programming Studies, vol 6. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0120748

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  • DOI: https://doi.org/10.1007/BFb0120748

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-00785-9

  • Online ISBN: 978-3-642-00786-6

  • eBook Packages: Springer Book Archive

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