The variational principle and stochastic optimal control

DOI10.1080/17442508008833147zbMath0434.49009MaRDI QIDQ3873075

Robert J. Elliott, Michael Kohlmann

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833147

zbMATH Keywords

variational principle; suboptimal control; martingale techniques; Girsanov methods

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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Cites Work

• Unnamed Item
• On the variational principle
• Nonconvex minimization problems
• The Optimal Control of a Stochastic System