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A stochastic minimum principle
Author:
Robert J. Elliott
Journal:
Bull. Amer. Math. Soc. 82 (1976), 944-946
MSC (1970):
Primary 93E20; Secondary 60H10
MathSciNet review:
0426926
Full-text PDF
References |
Similar Articles |
Additional Information
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M. C. Clark, The representation of functionals of Brownian motion
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H. A. Davis and P.
Varaiya, Dynamic programming conditions for partially observable
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Wendell
H. Fleming, Optimal continuous-parameter stochastic control,
SIAM Rev. 11 (1969), 470–509. MR 0265046
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V. Girsanov, On transforming a class of stochastic processes by
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Primenen. 5 (1960), 314–330 (Russian, with English
summary). MR
0133152 (24 #A2986)
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A. Meyer, Un cours sur les intégrales stochastiques,
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- J. M. C. Clark, The representation of functional of Brownian motion by stochastic integrals, Ann. Math. Statist. 41 (1970), 1282-1295. MR 42 #5336. MR 270448
- 2.
- M. H. A. Davis and P. P. Varaiya, Dynamic programming conditions for partially observable stochastic systems, SIAM J. Control 11 (1973), 226-261. MR 47 #8184. MR 319642
- 3.
- W. H. Fleming, Optimal continuous-parameter stochastic control, SIAM Rev. 11 (1969) 470-509. MR 41 #9633. MR 265046
- 4.
- I. V. Girsanov, On transforming a class of stochastic processes by absolutely continuous substitution of measures, Teor. Verojatnost. i Primenen. 5 (1960), 314-330 = Theor. Probability Appl. 5 (1960), 285-301. MR 24 #A2986. MR 133152
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- L. S. Pontrjagin, Optimal regulation of processes, Uspehi Mat. Nauk 14 (1959), no. 1 (85), 3-20; English transl., Amer. Math. Soc. Transl. (2) 18 (1961), 321-339. MR 22 #11189; 23 #A1907. MR 120435
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Additional Information
DOI:
http://dx.doi.org/10.1090/S0002-9904-1976-14228-0
PII:
S 0002-9904(1976)14228-0
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