Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems

DOI10.1080/17442508708833457zbMath0639.93065OpenAlexW1988506146MaRDI QIDQ3780869

R. Chitashvili, Michael Mania

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833457

zbMATH Keywords

maximum principleBellman equationnonlinear stochastic differential equationsufficient filtrationdefect formulaextremal set of controlsinverse Girsanov transformation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)

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Cites Work

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• On the Existence of Optimal Policies in Stochastic Control
• CONVEXITY OF VALUES OF VECTOR INTEGRALS, THEOREMS ON MEASURABLE CHOICE AND VARIATIONAL PROBLEMS
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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