The optimal control of diffusions

descriptionPublicationkeyboard_double_arrow_right Article 01 Jul 1990 English Publisher:Springer Science and Business Media LLCJournal:Applied Mathematics & Optimization, volume 22, pages 229-240 (issn: 0095-4616, eissn: 1432-0606,

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Authors: Elliott, Robert J.;

doi: 10.1007/bf01447329

The optimal control of diffusions

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Abstract

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Related Organizations

University of Alberta
Canada

Keywords

martingale representation, adjoint process, Existence theories for optimal control problems involving partial differential equations, Existence of optimal solutions to problems involving randomness

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