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ArticleLagrange approach to the optimal control of diffusions

Peter Kosmol1993

Article1993

Lagrange approach to the optimal control of diffusions

Peter Kosmol · Michele Pavon

20 citations·0/0 files stored·Acta Applicandae Mathematicae

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Stochastic processes and financial applications Optimization and Variational Analysis Adaptive Dynamic Programming Control

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References

2007Brownian Motion and Stochastic Calculus 1988Brownian Motion and Stochastic Calculus 1978An Introductory Approach to Duality in Optimal Stochastic Control 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems 1989Optimization Problems in the Theory of Continuous Trading 1973Dynamic Programming Conditions for Partially Observable Stochastic Systems 1991A stochastic control approach to reciprocal diffusion processes 1989Convex Duality Approach to the Optimal Control of Diffusions

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Details

Year1993

Typearticle

Published1993-08-01

VenueActa Applicandae Mathematicae

ISSN-L0167-8019

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf00998149

openalex_workW2066416622

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