Approximation and optimality necessary conditions in relaxed stochastic control problems

DOI10.1155/JAMSA/2006/72762zbMath1119.49027MaRDI QIDQ995846

Brahim Mezerdi, Boualem Djehiche, Seid Bahlali

Publication date: 10 September 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53388

zbMATH Keywords

stochastic differential equationmaximum principle of Pontryagin typePeng maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)

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