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Lagrange approach to the optimal control of diffusions
15 references·0 citing·42 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
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  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
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  • 1989Optimization Problems in the Theory of Continuous Trading284 cited
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  • 1991A stochastic control approach to reciprocal diffusion processes148 cited
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  • 1981Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work59 cited
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  • 1990On the Markov processes of Schrödinger, the Feynman-Kac formula and stochastic control29 cited
  • 1980On a stochastic representation for the principal eigenvalue of a second-order differential equation

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