Adjoint processes in stochastic optimal control problems

DOI10.1080/00207178408933177MaRDI QIDQ3323825zbMATH OpenOpenAlexFDO

Authors

Publication date 1984

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178408933177

zbMATH Keywords

adjoint processescomplete observationsfixed terminal time

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Duality theory (optimization) (49N15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Recommendations

• Publication:4731735
• The optimal control of diffusions
• scientific article; zbMATH DE number 431852
• The second order minimum principle and adjoint process
• The Partially Observed Stochastic Minimum Principle

Cites work

• A general theory of extremals
• Conjugate convex functions in optimal stochastic control
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• On the gap between deterministic and stochastic ordinary differential equations
• On the stochastic maximum principle. Fixed time of control

Cited in

(12)

• Inefficiency of credible strategies in oligopolistic resource markets with uncertainty
• The optimal control of diffusions
• scientific article; zbMATH DE number 431852 (Why is no real title available?)
• A necessary condition for optimality in a problem of stochastic control with discretized observations
• The Sufficiency of Adjoined Markov Strategies for Controlled Diffusion Processes
• scientific article; zbMATH DE number 1066319 (Why is no real title available?)
• Optimal Bounded Response Control for a Second-Order System Under a White-Noise Excitation
• scientific article; zbMATH DE number 2172650 (Why is no real title available?)
• scientific article; zbMATH DE number 4117324 (Why is no real title available?)
• The second order minimum principle and adjoint process
• On adjoint additive processes
• Adjoint variables to optimal control problems

This page was built for publication: Adjoint processes in stochastic optimal control problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3323825)