A practical variational approach to stochastic optimal control via state moment equations

DOI10.1016/0016-0032(95)00074-7zbMath0855.93097OpenAlexW1965800996MaRDI QIDQ1916929

Guy Jumaric

Publication date: 14 July 1996

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0016-0032(95)00074-7

zbMATH Keywords

stochastic optimal controlEuler-Lagrange variational methodsstate moment equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
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• Variable structure systems with sliding modes

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