A new coupled continuous-time policy-value iteration dynamics is shown to converge to the optimal value and control for relaxed and classical stochastic control problems, under Hamiltonian monotonicity conditions.
(1954), ‘The theory of dynamic programming’,Bulletin of the American Math- ematical Society60(6), 503–515
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Continuous Policy and Value Iteration for Stochastic Control Problems and Its Convergence
A new coupled continuous-time policy-value iteration dynamics is shown to converge to the optimal value and control for relaxed and classical stochastic control problems, under Hamiltonian monotonicity conditions.