On the Minimum Principle for Controlled Diffusions on Manifolds

DOI10.1137/0327058MaRDI QIDQ3472034zbMATHOpenAlexFDO

Authors Mark H. A. Davis, M. P. Spathopoulos

Publication date 1989

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

Full work available at URL https://doi.org/10.1137/0327058

zbMATH Keywords

dynamic programmingstochastic minimum principleadjoint variable

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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