Lagrange approach to the optimal control of diffusions

DOI10.1007/BF00998149zbMath0794.93108MaRDI QIDQ1314870

Michele Pavon, Peter Kosmol

Publication date: 14 March 1994

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

diffusion process; Lagrange functionals; structure nonconvexity

Mathematics Subject Classification ID

93E20: Optimal stochastic control

Related Items

Hamilton’s principle in stochastic mechanics, Solving optimal control problems by means of general Lagrange functionals, Lagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionals, Fractional-order Legendre functions and their application to solve fractional optimal control of systems described by integro-differential equations

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