On the Existence of Optimal Controls

DOI10.1137/0328049zbMath0712.49013OpenAlexW4378983388MaRDI QIDQ3196895

Ulrich G. Haussmann, Jean-Pierre Lepeltier

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1137/0328049

zbMATH Keywords

controlled diffusion Itô stochastic differential equation martingale problem synthesis problem relaxed controls Markovian selection theorem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Synthesis problems (93B50) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55)

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