The optimal control of diffusions-Reference-Cited by-同舟云学术

The optimal control of diffusions

Published:1990-07 Issue:1 Volume:22 Page:229-240
ISSN:0095-4616
Container-title:Applied Mathematics & Optimization
language:en
Short-container-title:Appl Math Optim

Author:

Elliott Robert J.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Link

http://link.springer.com/content/pdf/10.1007/BF01447329.pdf

Reference16 articles.

1. J. Baras, R. J. Elliott and M. Kohlmann, The partially observed stochastic minimum principle. SIAM J. Control Optim., 27 (1989), 1279?1292.

2. A. Bensoussan, Lectures on Stochastic Control. Lecture Notes in Mathematics, Vol. 972. Springer-Verlag, Berlin, 1982.

3. J. N. Blagovescenskii and M. I. Freidlin, Some properties of diffusion processes depending on a parameter. Dokl. Akad. Nauk. SSSR, 138 (1961), Soviet Math. Dokl., 2 (1961), 633?636.

4. J. M. Bismut, Theorie probabiliste du Contr�le des Diffusions. Memoirs of the American Mathematical Society, Vol. 167, AMS, Providence, RI, 1976.

5. J. M. Bismut, An introductory approach to duality in optimal stochastic control. SIAM Rev., 20 (1978), 62?78.

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