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ArticleThe optimal control of diffusions

Robert James Elliott1990

Article1990

The optimal control of diffusions

Robert James Elliott

41 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Stability and Controllability of Differential Equations Adaptive Dynamic Programming Control

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References

1986Stochastic Calculus and Applications.1978An Introductory Approach to Duality in Optimal Stochastic Control 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems 1973Dynamic Programming Conditions for Partially Observable Stochastic Systems 1983Lectures in stochastic control 1989The Partially Observed Stochastic Minimum Principle

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2006Maximum Principle for Singular Stochastic Control Problems 1994The second order minimum principle and adjoint process 2002Necessary conditions for optimality in relaxed stochastic control problems 2008Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems 2024Sixty Years of the Maximum Principle in Optimal Control: Historical Roots and Content Classification

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Year1990

Typearticle

Published1990-07-01

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf01447329

openalex_workW2033011612

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