Discrete-time stochastic control: an overview on main results and models

In this talk we present an overview of the theory on stochastic control processes, also known in the literature as Markov control processes (MCPs) or Markov decision processes (MDPs). We start from the basic concepts that define a stochastic control problem, and by way of illustration we analyze its solution for specific optimality criteria. We conclude by presenting, in a very general form, some non-standard control problems that include the latest research in the area of MCPs (MDPs).