Optimal control of systems governed by stochastic McShane differential equations with fixed terminal time

DOI10.1080/00207727608941904MaRDI QIDQ4079472zbMATH OpenOpenAlexFDO

Authors Kok Lay Teo

Publication date 1976

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207727608941904

Mathematics Subject Classification ID

Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Optimality conditions for problems involving partial differential equations (49K20) Optimal stochastic control (93E20)

Cites work

• LINEAR EQUATIONS OF THE SECOND ORDER OF PARABOLIC TYPE
• On McShane’s Belated Stochastic Integral
• Optimal Control of Partially Observable Diffusions
• Optimal control of stochastic Ito differential systems by fixed terminal time
• Optimal feedback control of stochastic McShane differential systems

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