Stochastic optimal control -- a concise introduction

DOI10.3934/mcrf.2020027OpenAlexW3034016552MaRDI QIDQ2097682

Jiong-min Yong

Publication date: 14 November 2022

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2020027

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingvariational methodRiccati equationPontryagin maximum principleoptimal stochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40)

Related Items (3)

A minimum principle for stochastic optimal control problem with interval cost function ⋮ Optimal Control for Stochastic Nonlinear Schrödinger Equation on Graph ⋮ Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
• A Stochastic Differential Equation SIS Epidemic Model
• A General Stochastic Maximum Principle for Optimal Control Problems
• Viscosity Solutions of Hamilton-Jacobi Equations
• Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points

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