User: Guest  Login
Title:

Monotonocity and Bounds for Convex Stochastic Control Models

Document type:
Zeitschriftenaufsatz
Author(s):
Rieder, U.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
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...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
ZOR - Methods and Models of Operations Research
Year:
1994
Journal volume:
39
Journal issue:
2
Pages contribution:
187-207
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
versions