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In this paper we consider the problem of optimal control of stochastic processes. We employ the dual martingale method brought forward in [Brown, Smith, and Sun, 2010]. The martingale constituting the solution of the dual problem is determined by lin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8cb24f80616f8130b0547df1c4f5fc69
