A stochastic maximum principle with dissipativity conditions
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Publication:255511
DOI10.3934/dcds.2015.35.5499zbMath1332.93381arXiv1309.7757OpenAlexW2963224929MaRDI QIDQ255511
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7757
stochastic optimal controlstochastic maximum principledissipative systemsbackward stochastic differential equationnecessary conditions for optimality
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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