This article is cited in 21 papers

Stochastic concave dynamic programming

E. B. Dynkin


Abstract: In this paper the methods of stochastic control processes are combined with considerations regarding convexity, which are characteristic for the deterministic models of a developing economy. As a result a stochastic theory is obtained, heavily resembling the deterministic one, but which can also take into account the influence of stochastic factors.
Bibliography: 8 titles.

UDC: 519.2

MSC: Primary 90C15, 90C25; Secondary 90A15

Received: 04.01.1971 and 13.09.1971

 English version: Mathematics of the USSR-Sbornik, 1972, 16:4, 501–515

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