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.
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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.