Optimal control of stochastic Ito differential systems by fixed terminal time

DOI10.2307/1425858zbMath0321.93057OpenAlexW4235123151MaRDI QIDQ4083305

Nasir Uddin Ahmed, Kok Lay Teo

Publication date: 1975

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1425858

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving ordinary differential equations (49K15)

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Optimal control of systems governed by stochastic McShane differential equations with fixed terminal time ⋮ Gradient method for computing optimal controls for stochastic differential equations ⋮ Optimal control of systems governed by time-delayed, second-order, linear, parabolic partial differential equations with a first boundary condition

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