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- Title
Characterizations of Overtaking Optimality for Controlled Diffusion Processes.
- Authors
Jasso-Fuentes, Héctor; Hernández-Lerma, Onésimo
- Abstract
In this paper we give conditions for (the existence and) several characterizations of overtaking optimal policies for a general class of controlled diffusion processes. Our characterization results are of a lexicographical type; namely, first we identify the class of so-called canonical policies, and then within this class we search for policies with some special feature—for instance, canonical policies that in addition maximize the bias.
- Subjects
DIFFUSION processes; LEXICOGRAPHY; CANON law; POLICY analysis; BIAS (Law); ERGODIC theory; CLASSIFICATION (Conflict of laws); CONDITIONS (Law); MATHEMATICAL optimization
- Publication
Applied Mathematics & Optimization, 2008, Vol 57, Issue 3, p349
- ISSN
0095-4616
- Publication type
Article
- DOI
10.1007/s00245-007-9025-6