On the stochastic maximum principle with 'average' constraints

DOI10.1016/0022-247X(65)90050-8zbMath0161.07203OpenAlexW2031761214MaRDI QIDQ2528710

Harold J. Kushner

Publication date: 1965

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(65)90050-8

zbMATH Keywords

ordinary differential equations

Related Items (4)

Mathematical programming and the control of Markov chains† ⋮ Duality and sensitivity analysis of multistage linear stochastic programs ⋮ On the stochastic maximum principle ⋮ Optimal adaptive control of linear systems with unknown measurement subsystems

Cites Work

• A maximum principle for stochastic control systems
• On stochastic problems: Calculus
• On the Existence of Optimal Stochastic Controls
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