Characterizations of Overtaking Optimality for Controlled Diffusion Processes

摘要

In this paper we give conditions for (the existence and) several characterizations of overtaking optimal policies for a general class of controlled diffusion processes. Our characterization results are of a lexicographical type; namely, first we identify the class of so-called canonical policies, and then within this class we search for policies with some special feature—for instance, canonical policies that in addition maximize the bias.