Simplified single-time stochastic maximum principle

MaRDI QIDQ3091634zbMATH OpenFDO

Authors Constantin Udrişte, Virgil Damian

Publication date 10 September 2011

Full work available at URL http://www.emis.de/journals/BJGA/v16n2/v16n2.htm

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zbMATH Keywords

adjoint processstochastic first integralsstochastic maximum principlestochastic optimal control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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