A practical variational approach to stochastic optimal control via state moment equations
type: Item
instance of: scholarly article
title: A practical variational approach to stochastic optimal control via state moment equations
zbMATH Open document ID: 0855.93097
DOI: 10.1016/0016-0032(95)00074-7
published in: Journal of the Franklin Institute
publication date: 1996-07-14T00:00:00Z
review text: The author discusses the possibility to solve some stochastic optimal control problems using the solution of the corresponding deterministic problem (without noise terms), the state moment equations, and Euler-Lagrange variational methods. The approach is illustrated by examples.
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 902650
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: state moment equations
zbMATH Keywords: Euler-Lagrange variational methods
author: Guy Jumarie
reviewed by: Henrikas Pragarauskas
MaRDI profile type: Publication
full work available at URL: 0016-0032(95)00074-7
OpenAlex ID: W1965800996
cites work: Q4086303
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cites work: Variable structure systems with sliding modes
cites work: Optimum consumption and portfolio rules in a continuous-time model
description: scientific article; zbMATH DE number 902650