A necessary extremality condition for a set-valued stochastic control problem

DOI10.1007/BF01199462zbMath0884.93053OpenAlexW2049077066MaRDI QIDQ1366318

Hagen Fritsch

Publication date: 1 April 1998

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01199462

zbMATH Keywords

stochastic dynamic systemextremum principleset-valued drift coefficient

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• On the theory of Banach space valued multifunctions. I: Integration and conditional expectation
• On the solution of stochastic differential inclusion
• A stochastic filippov theorem
• Optimal control of a setvalued stochastic dynamic system
• Convex Analysis
• Set-valued analysis
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