On the Existence of Optimal Controls
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Publication:3196895
DOI10.1137/0328049zbMath0712.49013OpenAlexW4378983388MaRDI QIDQ3196895
Ulrich G. Haussmann, Jean-Pierre Lepeltier
Publication date: 1990
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0328049
controlled diffusionItô stochastic differential equationmartingale problemsynthesis problemrelaxed controlsMarkovian selection theorem
Optimal stochastic control (93E20) Synthesis problems (93B50) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55)
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