Robust stochastic maximum principle: complete proof and discussions

DOI10.1080/10241230306722zbMath1125.93493OpenAlexW2151108146MaRDI QIDQ1886205

Alexander S. Poznyak

Publication date: 16 November 2004

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10241230306722

zbMATH Keywords

robust controlminimax problem

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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