Duality and lower bounds in optimal stochastic control |
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Authors: | SHINJI TANIMOTO |
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Affiliation: | Department of Applied Mathematics , Kochi Joshi University , Kochi, 780, Japan |
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Abstract: | A dual problem is proposed for an optimal stochastic control problem whose dynamical system is described by a linear stochastic differential equation. Relationships between the extreme values of the original and dual problems are discussed and two duality theorems are obtained The dual problem furnishes lower bounds for the extreme value of the original problem. |
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