Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
General Engineering
Link
http://epubs.siam.org/doi/pdf/10.1137/0310041
Reference13 articles.
1. An Abstract Variational Theory with Applications to a Broad Class of Optimization Problems. I. General Theory
2. On the stochastic maximum principle: Fixed time of control
3. On the stochastic maximum principle with “average” constraints
4. On the control of stochastic systems. II †
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