Maximum principle for stochastic control in continuous time with hard end constraints

DOI10.1007/s10957-009-9602-8zbMath1185.49028OpenAlexW2055864154MaRDI QIDQ963663

Atle Seierstad

Publication date: 13 April 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2002/Memo-24-2002.pdf

zbMATH Keywords

stochastic maximum principlehard end constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control problems involving ordinary differential equations (34H05) Optimality conditions for problems involving randomness (49K45) Optimality conditions for problems involving ordinary differential equations (49K15)

Related Items (1)

Optimal control of diffusions with hard terminal state restrictions

Cites Work

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• An extension to Banach space of Pontryagin's maximum principle
• A local attainability property for control systems defined by nonlinear ordinary differential equations in a Banach space
• A General Stochastic Maximum Principle for Optimal Control Problems
• Stochastic Control in Discrete and Continuous Time
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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