On stochastic problems: Calculus

DOI10.1016/0022-247X(65)90131-9zbMath0203.17204OpenAlexW2057136109MaRDI QIDQ2541443

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)90131-9

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Related Items

Equilibrium interest-rate determination under adjustment costs, On the stochastic maximum principle. Fixed time of control, A descent algorithm for constrained stochastic extrema, On the stochastic maximum principle with 'average' constraints

Cites Work

• A maximum principle for stochastic control systems
• On the stochastic maximum principle. Fixed time of control
• Optimal stochastic control
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