Optimal control of diffusions with hard terminal state restrictions
type: Item
instance of: scholarly article
title: Optimal control of diffusions with hard terminal state restrictions
zbMATH Open document ID: 1264.49027
DOI: 10.5402/2012/729490
published in: ISRN Applied Mathematics
publication date: 2013-06-11T00:00:00Z
review text: Summary: A maximum principle is proved for certain problems of optimal control of diffusions where hard end constraints occur. The results apply to several dimensional problems, where some of the state equations involve Brownian motions, but not the equations corresponding to states being hard restricted at the terminal time.
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 49K21
zbMATH DE Number: 6172981
zbMATH Keywords: optimal control of diffusions
Wikidata QID: Q58691887
author: Atle Seierstad
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.5402/2012/729490
OpenAlex ID: W1986271842
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description: scientific article; zbMATH DE number 6172981