Separability, neutrality and certainty equivalence

Studies of optimal stochastic control problems have drawn attention to three properties: separability, neutrality and certainty equivalence. The relationships between these properties have not yet been fully explored. This paper gives definitions of all three properties, summarizes well-known result...

Full description

Saved in:
Bibliographic Details
Published in:International journal of control 1971-02, Vol.13 (2), p.337-342
Main Authors: PATCHELL, J. W., JACOBS, O. L. R.
Format: Article
Language:English
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Studies of optimal stochastic control problems have drawn attention to three properties: separability, neutrality and certainty equivalence. The relationships between these properties have not yet been fully explored. This paper gives definitions of all three properties, summarizes well-known results about them and discusses the relationships between them. It is shown that separability is not the same as, but is a necessary condition for, certainty equivalence. It is conjectured that neutrality is a sufficient condition for certainty equivalence.
ISSN:0020-7179
1366-5820
DOI:10.1080/00207177108931948