On the Existence of Optimal Stochastic Controls

DOI10.1137/0303031MaRDI QIDQ5524966zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 1965

Published in Journal of the Society for Industrial and Applied Mathematics Series A Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0303031

zbMATH Keywords

probability theory

Cited in

(5)

• Existence results for optimal stochastic controls
• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• On the stochastic maximum principle with 'average' constraints
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• First and second order necessary conditions for stochastic optimal control problems

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