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On the Existence of Optimal Policies in Stochastic Control

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References

1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
1971Existence of Optimal Stochastic Control Laws246 cited
1973Dynamic Programming Conditions for Partially Observable Stochastic Systems225 cited
1970Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems164 cited
1969Optimal Continuous-Parameter Stochastic Control113 cited
1971On the Solutions of a Stochastic Control System98 cited
1970Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control83 cited

Cited by

2005Martingale methods in stochastic control60 cited
1977The Optimal Control of a Stochastic System56 cited
1981Optimal Play in a Stochastic Differential Game47 cited
2006Martingale Approach to Stochastic Control with Discretionary Stopping42 cited
2006Existence of optimal markovian controls for degenerate diffusions41 cited
1983Martingale ideology in the theory of controlled stochastic processes36 cited
1978On Existence of a Nash Equilibrium Point in N -Person Nonzero Sum Stochastic Differential Games29 cited
1976

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The Separation Principle in Stochastic Control via Girsanov Solutions

28 cited

1979Existence of Optimal Controls for Stochastic Jump Processes26 cited

2002Necessary conditions for optimality in relaxed stochastic control problems25 cited

1975Remarks on stochastic optimal controls23 cited

2021Optimal contracting under mean-volatility joint ambiguity uncertainties19 cited

1994On the Existence of Optimal controls of Hilbert Space-Valued Diffusions18 cited