The maximum principle in optimal control of systems driven by martingale measures

zbMath1362.93166MaRDI QIDQ527114

Brahim Mezerdi, Saloua Labed

Publication date: 16 May 2017

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1492826416

zbMATH Keywords

optimal controlmaximum principlestochastic differential equationrelaxed controlorthogonal continuous martingale measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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