Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
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Publication:5320751
DOI10.1137/070681053zbMath1167.49024arXiv0807.4297MaRDI QIDQ5320751
Publication date: 22 July 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.4297
maximum principle; stochastic differential equation; variational inequality; relaxed control; adjoint process; strict control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C10: Nonlinear systems in control theory
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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