Max-plus Stochastic Control
نویسنده
چکیده
Max-plus stochastic processes are counterparts of Markov diffusion processes governed by Ito sense stochastic differential equations. In this framework, expectations are linear operations with respect to max-plus arithmetic. Max-plus stochastic control problems are considered, in which a minimizing control enters the state dynamics and running cost. The minimum max-plus expected cost is equal to the upper Elliott-Kalton value of an associated differential game.
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