Duality method for multidimensional nonsmooth constrained linear convex stochastic control

DOI10.1007/S10957-023-02237-WMaRDI QIDQ6869812zbMATH OpenFDO

Authors Engel John C. Dela Vega, Harry Zheng

Publication date 22 January 2026

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10957-023-02237-W

zbMATH Keywords

random coefficientscontrol constraintsnondifferentiable objective functiondual stochastic maximum principlelinear convex stochastic controlprimal-dual relation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear optimal control problems (49N05) Duality theory (optimization) (49N15)

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