In this paper we give conditions for (the existence and) several characterizations of overtaking optimal policies for a general class of controlled diffusion processes. Our characterization results are of a lexicographical type; namely, first we identify the class of so-called canonical policies, and then within this class we search for policies with some special feature—for instance, canonical policies that in addition maximize the bias .
Applied Mathematics and Optimization – Springer Journals
Published: Jun 1, 2008
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