Approximation and optimality necessary conditions in relaxed stochastic control problems

DOI10.1155/JAMSA/2006/72762zbMath1119.49027MaRDI QIDQ995846

Brahim Mezerdi, Boualem Djehiche, Seid Bahlali

Publication date: 10 September 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53388

zbMATH Keywords

stochastic differential equation; maximum principle of Pontryagin type; Peng maximum principle

Mathematics Subject Classification ID

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

93C10: Nonlinear systems in control theory

93E20: Optimal stochastic control

93C15: Control/observation systems governed by ordinary differential equations

49K45: Optimality conditions for problems involving randomness

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