Optimal control of diffusions with hard terminal state restrictions

DOI10.5402/2012/729490zbMath1264.49027OpenAlexW1986271842WikidataQ58691887 ScholiaQ58691887MaRDI QIDQ1954420

Atle Seierstad

Publication date: 11 June 2013

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2012/729490

zbMATH Keywords

optimal control of diffusions

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimality conditions for problems involving relations other than differential equations (49K21)

Related Items (1)

Pareto improvements of Nash equilibria in differential games

Cites Work

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• Maximum principle for stochastic control in continuous time with hard end constraints
• An extension to Banach space of Pontryagin's maximum principle
• A General Stochastic Maximum Principle for Optimal Control Problems
• Stochastic Control in Discrete and Continuous Time
• Optimization and nonsmooth analysis
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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