Lipschitzian Estimates in Discrete-Time Constrained Stochastic Optimal Control

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dc.creatorPapi, M.
dc.creatorSbaraglia, S.
dc.date2002-06-05
dc.date.accessioned2026-07-07T04:48:54Z
dc.date.available2026-07-07T04:48:54Z
dc.descriptionThis paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We derive accurate estimates of the Lipschitz constant of the value function, by means of a regularity result of the multifunction that defines the admissible control set. In the last section we discuss an application to an optimal asset-allocation problem.
dc.identifierhttps://arxiv.org/abs/math/0206037
dc.identifierhttp://arxiv.org/abs/math/0206037
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/64225
dc.subjectOptimization and Control
dc.subjectDynamical Systems
dc.subject49L20; 49N60; 32A12; 37N40; 37N35
dc.titleLipschitzian Estimates in Discrete-Time Constrained Stochastic Optimal Control
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