Adjoint processes in stochastic optimal control problems

DOI10.1080/00207178408933177zbMath0537.93072OpenAlexW2063815886MaRDI QIDQ3323825

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Publication date: 1984

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178408933177

zbMATH Keywords

fixed terminal timeadjoint processescomplete observations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)

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Cites Work

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• Conjugate convex functions in optimal stochastic control
• On the stochastic maximum principle. Fixed time of control
• A general theory of extremals
• Dynamic Programming Conditions for Partially Observable Stochastic Systems