Optimal Control of Diffusions with Hard Terminal State Restrictions
Author
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-38, 38 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-13
Country of Publication
Egypt
No. of Pages
38
Main Subjects
Abstract EN
A maximum principle is proved for certain problems of optimal control of diffusions where hard end constraints occur.
The results apply to several dimensional problems, where some of the state equations involve Brownian motions, but not the equations corresponding to states being hard restricted at the terminal time.
American Psychological Association (APA)
Seierstad, Atle. 2012. Optimal Control of Diffusions with Hard Terminal State Restrictions. ISRN Applied Mathematics،Vol. 2012, no. 2012, pp.1-38.
https://search.emarefa.net/detail/BIM-494030
Modern Language Association (MLA)
Seierstad, Atle. Optimal Control of Diffusions with Hard Terminal State Restrictions. ISRN Applied Mathematics No. 2012 (2012), pp.1-38.
https://search.emarefa.net/detail/BIM-494030
American Medical Association (AMA)
Seierstad, Atle. Optimal Control of Diffusions with Hard Terminal State Restrictions. ISRN Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-38.
https://search.emarefa.net/detail/BIM-494030
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-494030
