A stochastic minimum principle

DOI10.1090/S0002-9904-1976-14228-0zbMath0354.93072MaRDI QIDQ4126192

Robert J. Elliott

Publication date: 1976

Published in: Bulletin of the American Mathematical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Hamilton-Jacobi theories (49L99)

Related Items (2)

A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Robust dynamics and control of a partially observed Markov chain

Cites Work

• Optimal Continuous-Parameter Stochastic Control
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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