A maximum principle for stochastic control systems
From MaRDI portal
Publication:2394354
DOI10.1016/0022-247X(64)90070-8zbMath0126.33401OpenAlexW2044066215MaRDI QIDQ2394354
Fred C. Schweppe, Harold J. Kushner
Publication date: 1964
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0022-247x(64)90070-8
Related Items
Maximum principle of optimal stochastic control with terminal state constraint and its application in finance, Sequential convex programming for non-linear stochastic optimal control, First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems, On the convergence of the Sakawa-Shindo algorithm in stochastic control, Modelling and simulation of stochastic systems†, Maximum principle for discrete-time stochastic control problem of mean-field type, Principles of minimum in problems of optimal control of random processes, A survey of numerical solutions for stochastic control problems: some recent progress, Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions, Optimal measurement control strategies for natural resource systems, Time discretization of a setvalued stochastic dynamic system, A general maximum principle for optimal control of forward-backward stochastic systems, Stochastic maximum principle in the optimal control of water resources systems, On the stochastic maximum principle. Fixed time of control, Optimal bounded control with linear stochastic equations and quadratic cost, Optimal control of discrete-time stochastic systems, On the stochastic maximum principle with 'average' constraints, Optimal control of a discrete time stochastic system linear in the state, On stochastic problems: Calculus, A conservative bound on the estimation error covariance matrix in the presence of correlated driving noise and correlated discrete measurement noise, Optimal adaptive control of linear systems with unknown measurement subsystems, On a discrete optimal control problem with incomplete information, The stochastic maximum principle for relaxed control problem with regime-switching, The conservation and exploitation of vulnerable resources
Cites Work
