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Bulletin of the American Mathematical Society
Bulletin of the American Mathematical Society
ISSN 1088-9485(online) ISSN 0273-0979(print)

 

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
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  • 1. J. M. C. Clark, The representation of functionals of Brownian motion by stochastic integrals, Ann. Math. Statist. 41 (1970), 1282–1295. MR 0270448 (42 #5336)
  • 2. M. H. A. Davis and P. Varaiya, Dynamic programming conditions for partially observable stochastic systems, SIAM J. Control 11 (1973), 226–261. MR 0319642 (47 #8184)
  • 3. Wendell H. Fleming, Optimal continuous-parameter stochastic control, SIAM Rev. 11 (1969), 470–509. MR 0265046 (41 #9633)
  • 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 (Russian, with English summary). MR 0133152 (24 #A2986)
  • 5. P. A. Meyer, Un cours sur les intégrales stochastiques, Séminaire de Probabilités, X (Seconde partie: Théorie des intégrales stochastiques, Univ. Strasbourg, Strasbourg, année universitaire 1974/1975), Springer, Berlin, 1976, pp. 245–400. Lecture Notes in Math., Vol. 511 (French). MR 0501332 (58 #18721)
  • 6. L. S. Pontryagin, Optimal regulation processes, Uspehi Mat. Nauk 14 (1959), no. 1 (85), 3–20 (Russian). MR 0120435 (22 #11189)

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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