Monotonocity and Bounds for Convex Stochastic Control Models

We consider a general convex stochastic control model. Our main interest concerns monotonicity results and bounds for the value functions and for optimal policies. In particular, we show how the value functions depend on the transition kernels and we present conditions for a lower bound of an optimal policy. Our approach is based on convex stochastic ordering concepts, where we make also use of the Blackwell ordering. The structural results are illustrated by partially observed control models and Bayesian information models.     «

We consider a general convex stochastic control model. Our main interest concerns monotonicity results and bounds for the value functions and for optimal policies. In particular, we show how the value functions depend on the transition kernels and we present conditions for a lower bound of an optimal policy. Our approach is based on convex stochastic ordering concepts, where we make also use of the Blackwell ordering. The structural results are illustrated by partially observed control models an...     »