Logarithmic transformations for discrete-time,finite-horizon stochastic control problems |
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Authors: | Francesca Albertini Wolfgang J. Runggaldier |
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Affiliation: | (1) Dipartimento di Matematica Pura ed Applicata, Università di Padova, 35131 Padova, Italy |
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Abstract: | Using logarithmic transformations, we construct discrete-time stochastic control problems where the optimal value function (cost-to-go) belongs to a same parametrized class of functions that remains invariant under the dynamic programming operator. This extends a well-known property of the classical LQG problems, where the optimal value function is a quadratic. Some related questions are also discussed. |
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