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A stochastic maximum principle for optimal control of diffusions / U.G. Haussmann

Auteur principal : Haussmann, Ulrich G., AuteurType de document : MonographieCollection : Pitman research notes in mathematics series, 151Langue : anglais.Pays : Grande Bretagne.Éditeur : Harlow : Longman Scientific and Technical, 1986Description : 1 vol. (109 p.) ; 25 cmISBN : 9780582988934.ISSN : 0269-3674.Bibliographie : Bibliogr..Sujet MSC : 93E20, Systems theory; control -- Stochastic systems and control, Optimal stochastic control
49K45, Calculus of variations and optimal control; optimization -- Optimality conditions, Problems involving randomness
93-02, Systems theory; control, Research exposition (monographs, survey articles)
60H10, Probability theory and stochastic processes -- Stochastic analysis, Stochastic ordinary differential equations
60J60, Probability theory and stochastic processes -- Markov processes, Diffusion processes
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