The variational principle and stochastic optimal control

DOI10.1080/17442508008833147zbMath0434.49009OpenAlexW1987774970MaRDI QIDQ3873075

Michael Kohlmann, Robert J. Elliott

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833147

zbMATH Keywords

variational principlesuboptimal controlmartingale techniquesGirsanov methods

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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Cites Work

• On the variational principle
• Nonconvex minimization problems
• The Optimal Control of a Stochastic System
• Unnamed Item