On the existence of optimal solutions in a stochastic control model (Q795010)
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scientific article; zbMATH DE number 3861033
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the existence of optimal solutions in a stochastic control model |
scientific article; zbMATH DE number 3861033 |
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On the existence of optimal solutions in a stochastic control model (English)
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1985
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An existence result for a stochastic control model with chance constraints is considerably generalized by combining a standard isometry property of Wiener integrals with a well-known lower semicontinuity result for integral functionals.
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lower semicontinuity for integral functionals
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chance constraints
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Wiener integrals
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