Controlled Ornstein-Uhlenbeck process with chance constraints
type: Item
instance of: scholarly article
title: Controlled Ornstein-Uhlenbeck process with chance constraints
zbMATH Open document ID: 0417.93078
DOI: 10.1007/BF00933602
author: K. Helmes
author: Norbert Christopeit
published in: Journal of Optimization Theory and Applications
publication date: 1979-01-01T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C05
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 3650436
zbMATH Keywords: linear stochastic differential equation
zbMATH Keywords: linear feedback
zbMATH Keywords: probability constraints
zbMATH Keywords: necessary conditions
zbMATH Keywords: time-optimal control
MaRDI profile type: Publication
cites work: A Stochastic Control Model with Chance Constraints
description: scientific article; zbMATH DE number 3650436