Optimal control of diffusions with hard terminal state restrictions

DOI10.5402/2012/729490MaRDI QIDQ1954420zbMATH OpenOpenAlexWikidataFDO

Authors Atle Seierstad

Publication date 11 June 2013

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.5402/2012/729490

zbMATH Keywords

optimal control of diffusions

Mathematics Subject Classification ID

Optimality conditions for problems involving relations other than differential equations (49K21) Optimality conditions for problems involving randomness (49K45)

Review text

Summary: A maximum principle is proved for certain problems of optimal control of diffusions where hard end constraints occur. The results apply to several dimensional problems, where some of the state equations involve Brownian motions, but not the equations corresponding to states being hard restricted at the terminal time.

Recommendations

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Cites work

• A General Stochastic Maximum Principle for Optimal Control Problems
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• scientific article; zbMATH DE number 4044567 (Why is no real title available?)
• scientific article; zbMATH DE number 3999814 (Why is no real title available?)
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• Optimization and nonsmooth analysis
• Stochastic Control in Discrete and Continuous Time
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Cited in

(4)

• Optimal control of diffusions
• Optimal control of diffusion processes with terminal constraint in law
• Pareto improvements of Nash equilibria in differential games
• Maximum principle for stochastic control in continuous time with hard end constraints

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