Existence Theory for a Stochastic Bolza Problem

DOI10.1093/IMAMCI/4.4.301MaRDI QIDQ3801464zbMATHOpenAlexFDO

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

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)

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