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

7 citations · 7 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2011

Uniform moment bounds of multi-dimensional functions of discrete-time stochastic processes

Arnab Ganguly, Debasish Chatterjee, John Lygeros +1

We establish conditions for uniform -th moment bound of certain -valued functions of a discrete-time stochastic process taking values in a general metric space. The condit…

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…