Maximum principle for stochastic control in continuous time with hard end constraints
DOI10.1007/S10957-009-9602-8zbMATH Open1185.49028OpenAlexW2055864154MaRDI QIDQ963663FDOQ963663
Authors: Atle Seierstad 
Publication date: 13 April 2010
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2002/Memo-24-2002.pdf
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Cites Work
- A General Stochastic Maximum Principle for Optimal Control Problems
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- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
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- Stochastic Control in Discrete and Continuous Time
- A local attainability property for control systems defined by nonlinear ordinary differential equations in a Banach space
- An extension to Banach space of Pontryagin's maximum principle
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