The maximum principle for stochastic differential systems with general cost functional
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Publication:254612
DOI10.1016/j.sysconle.2016.01.001zbMath1335.93147MaRDI QIDQ254612
Publication date: 8 March 2016
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2016.01.001
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness