Stochastic optimal control -- a concise introduction
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Publication:2097682
dynamic programmingHamilton-Jacobi-Bellman equationoptimal stochastic controlvariational methodPontryagin maximum principleRiccati equation
Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cites work
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- A General Stochastic Maximum Principle for Optimal Control Problems
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Cited in
(15)- Stochastic linear-quadratic control problems with affine constraints
- Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
- New approach to stochastic optimal control
- On some recent aspects of stochastic control and their applications
- Stochastic optimal control and simulations with application to the cashew nut sector in Senegal
- Brief history of optimal control theory and some recent developments
- Stochastic Control in Discrete and Continuous Time
- A minimum principle for stochastic optimal control problem with interval cost function
- Optimal Control for Stochastic Nonlinear Schrödinger Equation on Graph
- A mini-course on stochastic control
- Introduction to the special issue on stochastic modelling, control, and robust optimization at the crossroads of engineering, environmental economics, and finance
- Stochastic linear-quadratic optimal control theory: differential games and mean-field problems
- Controlled Markov processes and viscosity solutions
- A concise introduction to control theory for stochastic partial differential equations
- scientific article; zbMATH DE number 5210013 (Why is no real title available?)
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