Two approaches to stochastic optimal control problems with a final-time expectation constraint
type: Item
instance of: scholarly article
title: Two approaches to stochastic optimal control problems with a final-time expectation constraint
zbMATH Open document ID: 1391.90446
author: Laurent Pfeiffer
published in: Applied Mathematics and Optimization
publication date: 2018-05-31T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6877186
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: expectation and probability constraints
zbMATH Keywords: dynamic programming
zbMATH Keywords: Lagrange relaxation
MaRDI profile type: Publication
full work available at URL: s00245-016-9378-9
OpenAlex ID: W2511661721
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DOI: 10.1007/S00245-016-9378-9
description: scientific article; zbMATH DE number 6877186