Relative Time and Stochastic Control With Non-Smooth Features

DOI10.1109/TAC.2016.2570754zbMath1364.93856OpenAlexW2402758545MaRDI QIDQ2989589

Xi-Ren Cao

Publication date: 8 June 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2016.2570754

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45) Local time and additive functionals (60J55)

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