Existence Theory for a Stochastic Bolza Problem

DOI10.1093/IMAMCI/4.4.301zbMATH Open0654.93077OpenAlexW1979834002MaRDI QIDQ3801464FDOQ3801464

Authors: P. D. Loewen 

Publication date: 1987

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/4.4.301

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zbMATH Keywords

continuous-timefixed time intervalcontrolled stochastic systemssuperquadratic growth conditionexistence of optimal open-loop control laws

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

Cited In (4)

• Parameter sensitivity in stochastic optimal control^∗
• Title not available (Why is that?)
• State-constrained stochastic optimal control problems via reachability approach
• Invariance of stochastic control systems with deterministic arguments

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