most citedStochastic control up to a hitting time: optimality and rolling-horizon implementation

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math.OC2008★ 7 cited

Stochastic control up to a hitting time: optimality and rolling-horizon implementation

Debasish Chatterjee, Eugenio Cinquemani, Giorgos Chaloulos +1

We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an op…