Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems

DOI10.1137/070681053zbMath1167.49024arXiv0807.4297OpenAlexW2027736470MaRDI 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

zbMATH Keywords

maximum principle stochastic differential equation variational inequality relaxed control adjoint process strict control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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