Lipschitzian etimates in discrete-time constrained optimal control

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. In particular, we derive estimates of the Lipschitz constant of the value function, by means of a regularity result of the multifunction that defines the admissible control set. Copyright © 2006 Watam Press.