Maximum principle for stochastic control in continuous time with hard end constraints

DOI10.1007/S10957-009-9602-8MaRDI QIDQ963663zbMATH OpenOpenAlexFDO

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Full work available at URL http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2002/Memo-24-2002.pdf

zbMATH Keywords

stochastic maximum principlehard end constraints

Mathematics Subject Classification ID

Control problems involving ordinary differential equations (34H05) Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3750659 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 3999814 (Why is no real title available?)
• scientific article; zbMATH DE number 3209538 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• 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
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Stochastic Control in Discrete and Continuous Time

Cited in

(4)

• A maximum principle for a stochastic control problem with multiple random terminal times
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• scientific article; zbMATH DE number 3950353 (Why is no real title available?)
• Optimal control of diffusions with hard terminal state restrictions

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