Optimal control of diffusions with hard terminal state restrictions (Q1954420)
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scientific article; zbMATH DE number 6172981
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of diffusions with hard terminal state restrictions |
scientific article; zbMATH DE number 6172981 |
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Optimal control of diffusions with hard terminal state restrictions (English)
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11 June 2013
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Summary: A maximum principle is proved for certain problems of optimal control of diffusions where hard end constraints occur. The results apply to several dimensional problems, where some of the state equations involve Brownian motions, but not the equations corresponding to states being hard restricted at the terminal time.
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optimal control of diffusions
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