On deterministic approach to solution of stochastic optimal control problem with controlled diffusion

DOI10.20537/VM140202MaRDI QIDQ2932446zbMATH OpenOpenAlexFDO

Authors Niyaz Ismagilov

Publication date 1 December 2014

Published in Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp'yuternye Nauki (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/vuu425

zbMATH Keywords

deterministic approachoptimal impulsive controlpathwise optimizationstochastic differential equationsstochastic optimal control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited in

(2)

• Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
• Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach

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