On the Adjoint Process for Optimal Control of Diffusion Processes

DOI10.1137/0319016zbMATH Open0459.49019OpenAlexW2070844990MaRDI QIDQ3909591FDOQ3909591

Ulrich G. Haussmann

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1137/0319016

zbMATH Keywords

adjoint equationMarkov process maximum principal

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (6)

• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• The optimal control of diffusions
• Control of a hybrid conditionally linear Gaussian process
• On the approximation of optimal stochastic controls
• Computational aspects in applied stochastic control
• Applicable stochastic control: From theory to practice

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