A new theory and the efficient methods of solution of strong, pathwise, stochastic variational problems

DOI10.4310/MAA.2004.v11.n3.a3zbMath1128.49025MaRDI QIDQ819530

N. E. Zubov

Publication date: 29 March 2006

Published in: Methods and Applications of Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.maa/1147353055

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

49K45: Optimality conditions for problems involving randomness

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