Optimal correction problem of a multidimensional stochastic system

DOI10.1016/0005-1098(89)90075-7zbMath0685.93079OpenAlexW2090069891MaRDI QIDQ1262290

José Luis Menaldi, Michael I. Taksar

Publication date: 1989

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(89)90075-7

zbMATH Keywords

multidimensional diffusion processHamilton-Jacobi-Bellman's equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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