A stochastic minimum principle
Author:
Robert J. Elliott
Journal:
Bull. Amer. Math. Soc. 82 (1976), 944-946
MSC (1970):
Primary 93E20; Secondary 60H10
DOI:
https://doi.org/10.1090/S0002-9904-1976-14228-0
MathSciNet review:
0426926
Full-text PDF Free Access
References | Similar Articles | Additional Information
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- 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
- 3. Wendell H. Fleming, Optimal continuous-parameter stochastic control, SIAM Rev. 11 (1969), 470–509. MR 0265046, https://doi.org/10.1137/1011086
- 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
- 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
- 6. L. S. Pontryagin, Optimal regulation processes, Uspehi Mat. Nauk 14 (1959), no. 1 (85), 3–20 (Russian). MR 0120435
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Additional Information
DOI:
https://doi.org/10.1090/S0002-9904-1976-14228-0