Triangular stochastic differential equations with boundary conditions
Marco Ferrante (1993)
Rendiconti del Seminario Matematico della Università di Padova
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Triangular stochastic differential equations with boundary conditions
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In this paper we are exploiting some similarities between Markov and Bellman processes and we introduce the main concepts of the paper: comparison of performance measures, and monotonicity of Bellman chains. These concepts are used to establish the main result of this paper dealing with comparison of Bellman chains.
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Rendiconti del Seminario Matematico della Università di Padova
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