On the Adjoint Process for Optimal Control of Diffusion Processes

DOI10.1137/0319016MaRDI QIDQ3909591zbMATHOpenAlexFDO

Authors 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)

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

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