scientific article; zbMATH DE number 6400905
zbMath1311.49003MaRDI QIDQ5498913
Publication date: 11 February 2015
Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/17779/1/Dissertation_TonyHuschto.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
dynamic programmingstochastic optimal controlstochastic differential equationsPontryagin's maximum principleWiener chaos expansionsMallavin calculus
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Existence of optimal solutions to problems involving randomness (49J55) Numerical methods for mathematical programming, optimization and variational techniques (65K99)
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