Stochastic calculus of variations and mechanics

DOI10.1007/BF00934436zbMath0497.49013MaRDI QIDQ1170748

Wendell H. Fleming

Publication date: 1983

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

zbMATH Keywords

stochastic calculus of variations; logarithmic transformation; stochastic mechanics; heat equation with a potential term; least average action

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

44A15: Special integral transforms (Legendre, Hilbert, etc.)

82B05: Classical equilibrium statistical mechanics (general)

35Q99: Partial differential equations of mathematical physics and other areas of application

49J55: Existence of optimal solutions to problems involving randomness

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Stochastic variational formula for fundamental solutions of parabolic PDE, Exit problem and control theory, A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities, Stochastic control and nonequilibrium thermodynamical systems, Quantum-mechanical representations of nonlinear filtering and stochastic optimal control, Sufficiency conditions for existence of an optimal feedback control in stochastic mechanics, Controllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version), Critical Ornstein-Uhlenbeck processes, Derivation of the non-linear Schrödinger equation from stochastic optimal control, Schrödinger conditional brownian motion and stochastic calculus of variations, Parameter sensitivity in stochastic optimal control^∗

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