On the Adjoint Process for Optimal Control of Diffusion Processes

DOI10.1137/0319016zbMath0459.49019OpenAlexW2070844990MaRDI QIDQ3909591

Ulrich G. Haussmann

Publication date: 1981

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0319016

zbMATH Keywords

adjoint equationMarkov process maximum principal

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (6)

Applicable stochastic control: From theory to practice ⋮ Computational aspects in applied stochastic control ⋮ The optimal control of diffusions ⋮ On the approximation of optimal stochastic controls ⋮ Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions ⋮ Control of a hybrid conditionally linear Gaussian process

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