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) |
|---|---|
| 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 |