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

DOI10.1080/00207727608941904zbMATH Open0317.93072OpenAlexW1987876792MaRDI QIDQ4079472FDOQ4079472

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
• Optimal Control of Partially Observable Diffusions
• On McShane’s Belated Stochastic Integral
• Optimal control of stochastic Ito differential systems by fixed terminal time
• Optimal feedback control of stochastic McShane differential systems

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