Duality Methods in the Control of Densities

DOI10.1137/0316052MaRDI QIDQ4176064zbMATH OpenOpenAlexFDO

Authors Jean-Michel Bismut

Publication date 1978

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0316052

zbMATH Keywords

Control of DensitiesDuality

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited in

(5)

• A solvable dynamic principal-agent model with linear marginal productivity
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• The optimal solution to a principal-agent problem with unknown agent ability
• Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal
• A solvable continuous time dynamic principal-agent model

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