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• W1625024265 abstract "This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We derive accurate estimates of the Lipschitz constant of the value function, by means of a regularity result of the multifunction that defines the admissible control set. In the last section we discuss an application to an optimal asset-allocation problem." @default.
• W1625024265 created "2016-06-24" @default.
• W1625024265 creator A5050262009 @default.
• W1625024265 creator A5083739447 @default.
• W1625024265 date "2002-06-05" @default.
• W1625024265 modified "2023-10-11" @default.
• W1625024265 title "Lipschitzian Estimates in Discrete-Time Constrained Stochastic Optimal Control" @default.
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• W1625024265 hasPublicationYear "2002" @default.
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