Title :
Semi-Group Methods in Stochastic Control
Author_Institution :
INRIA, Domaine de Voluceau, B.P.105, Rocquencourt, 78153 LE CHESNAY CEDEX, FRANCE
Abstract :
The aim of this paper is to give a survey of some of the semi-group methods in stochastic control. This includes mainly semi-group formulation of dynamic programming equation for general Feller processes in the case of optimal stopping, impulse control, and some case of "continuous control" problems. Indications are given on some open questions and examples are provided.
Keywords :
Bibliographies; Cost function; Diffusion processes; Dynamic programming; Equations; Jacobian matrices; Markov processes; Optimal control; Process control; Stochastic processes;
Conference_Titel :
American Control Conference, 1982
Conference_Location :
Arlington, VA, USA
