You are not currently logged in.
Access JSTOR through your library or other institution:
Optimality for Controlled Jump Processes: A Simple Approach
Siu Fai Leung
Vol. 3, No. 4 (Oct., 1993), pp. 765-774
Published by: Springer
Stable URL: http://www.jstor.org/stable/25054738
Page Count: 10
You can always find the topics here!Topics: Objective functions, Control theory, Necessary conditions for optimality, Markov processes, Economic value, Mathematical functions, Sufficient conditions for optimality, Economic theory, Mathematical problems, Scrap value
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Preview not available
This note presents a very simple method for deriving the necessary optimality conditions for optimal control of jump (point) processes. By means of Bellman's principle of optimality, the original stochastic control problem is transformed into a simple optimization problem. The derivation is remarkably simpler than the existing ones in the literature.
Economic Theory © 1993 Springer