Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls

DOI10.1137/120885656zbMath1290.49034arXiv1302.3455OpenAlexW1971375986MaRDI QIDQ2862467

Nasir Uddin Ahmed, Charalambos D. Charalambous

Publication date: 15 November 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3455

zbMATH Keywords

necessary optimality conditions stochastic differential equations jump processes optimal controls relaxed controls continuous diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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