A simple stochastic control problem with anticipation

DOI10.1109/TAC.1984.1103589MaRDI QIDQ3315424zbMATH OpenFDO

Authors

Publication date 1984

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1984.1103589

zbMATH Keywords

anticipative stochastic control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20)

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