Stochastic time-optimal control problems

DOI10.1049/ip-d.1988.0059zbMath0669.93084OpenAlexW4234691564MaRDI QIDQ3823498

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Publication date: 1988

Published in: IEE Proceedings D Control Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1049/ip-d.1988.0059

zbMATH Keywords

stochastic differential equationsnecessary condition of optimalitysufficient condition of optimalitystochastic time-optimal

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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