This article is cited in 22 papers

Control of Markov processes and $W$-spaces

N. V. Krylov


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).

UDC: 519.2

MSC: Primary 93E05, 90D05; Secondary 93E20, 60J25

Received: 08.12.1969

 English version: Mathematics of the USSR-Izvestiya, 1971, 5:1, 233–266

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