Derivation of optimality conditions for a stochastic control probleim

DOI10.1080/07362999508809389MaRDI QIDQ4835281zbMATH OpenOpenAlexFDO

Authors G. S. Ladde, Negash G. Medhin

Publication date 21 June 1995

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999508809389

zbMATH Keywords

optimality conditionsstochastic Itô nonlinear differential equation

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 193190 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• On the variational principle

Cited in

(4)

• Optimality conditions in variational form for non-linear constrained stochastic control problems
• scientific article; zbMATH DE number 4181266 (Why is no real title available?)
• Minimizing or Maximizing the Expected Time to Reach Zero
• A note on costs minimization with stochastic target constraints

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