On deterministic approach to solution of stochastic optimal control problem with controlled diffusion

DOI10.20537/VM140202zbMATH Open1299.93293OpenAlexW2507114136MaRDI QIDQ2932446FDOQ2932446

Authors: Niyaz Ismagilov 

Publication date: 1 December 2014

Published in: Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp'yuternye Nauki (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vuu425

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zbMATH Keywords

deterministic approachstochastic differential equationsstochastic optimal controloptimal impulsive controlpathwise optimization

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (2)

• Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
• Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach

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