ISSN:
1572-9036
Keywords:
93E20
;
Stochastic control
;
diffusion process
;
Lagrange functional
;
minimum principle
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract A new approach to the optimal control of diffusion processes based on Lagrange functionals is presented. The method is conceptually and technically simpler than existing ones. A first class of functionals allows to obtain optimality conditions without any resort to stochastic calculus and functional analysis. A second class, which requires Ito's rule, allows to establish optimality in a larger class of problems. Calculations in these two methods are sometimes akin to those in minimum principles and in dynamic programming, but the thinking behind them is new. A few examples are worked out to illustrate the power and simplicity of this approach.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00998149
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