On the optimization of systems defined by stochastic differential equations

DOI10.1016/0021-8928(78)90032-1zbMath0424.49013OpenAlexW1651375435MaRDI QIDQ1134995

E. P. Yurikov, V. A. Bodner, N. E. Rodnishchev

Publication date: 1979

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

Full work available at URL: https://doi.org/10.1016/0021-8928(78)90032-1

zbMATH Keywords

discontinuous systemsoptimizable discontinuity points

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Methods of reduced gradient type (90C52)

Related Items (2)

Optimal continuous stochastic control systems with incomplete feedback: approximate synthesis ⋮ Continuous finite-dimensional locally optimal filtering of jump diffusions

Cites Work

• Sufficient optimality conditions for dynamic systems that can be described by stochastic differential equations
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