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SIAM Journal on Control and Optimization
Article . 1978 . Peer-reviewed
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On the Stochastic Maximum Principle

On the stochastic maximum principle
descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 1978 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control and Optimization, volume 16, pages 236-251 (issn: 0363-0129, eissn: 1095-7138, Copyright policy )
Authors: U. G. Haussmann;

doi: 10.1137/0316015

On the Stochastic Maximum Principle

Abstract

A representation of the adjoint process, which appears in a general version of the maximum principle for control systems described by Girsanov solutions of stochastic differential equations, is given in terms of the linearization of the state equation. The result is only valid when the optimal control and the coefficiencies in the state equation are smooth; however two examples show that the result can nevertheless be applied to the nonsmooth case, solving in particular the linear regulator and the “predicted miss” problems.

Keywords

Optimal stochastic control

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
22
Average
Top 10%
Average
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