Abstract
Problems in the control of continuous Markov processes on a semicompactum by two players with conflicting interests are studied. The basic content of the paper is a derivation of Bellman’s equations in the case where control is exercised for an infinite time (Theorem 3), and in the case of a problem of optimal stopping (Theorem 6). The results are illustrated by two examples (Theorems 1 and 2).
Original language | English (US) |
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Pages (from-to) | 233-266 |
Number of pages | 34 |
Journal | Mathematics of the USSR - Izvestija |
Volume | 5 |
Issue number | 1 |
DOIs | |
State | Published - Feb 28 1971 |