Additive Control of Stochastic Linear Systems with Finite Horizon
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Publication:3715009
DOI10.1137/0323051zbMath0587.93068OpenAlexW2178119297MaRDI QIDQ3715009
Maurice Robin, José Luis Menaldi, Pao-Liu Chow
Publication date: 1985
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://digitalcommons.wayne.edu/mathfrp/29
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Linear systems in control theory (93C05) Dynamic programming (90C39) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35)
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