A minimum principle for stochastic optimal control problem with interval cost function

DOI10.11650/TJM/221102MaRDI QIDQ6155516zbMATH OpenOpenAlexFDO

Authors Mahdi Rezaei Bahrmand, H. Khaloozadeh, P. Reihani Ardabili

Publication date 5 June 2023

Published in Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.11650/tjm/221102

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationinterval cost functionstochastic differential equationstochastic optimal controluncertainty

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

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Cited in

(1)

• Interval convex optimization under uncertainty via an admissible order approach

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