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Optimality for controlled jump processes: a simple approach

โœ Scribed by Siu Fai Leung


Publisher
Springer
Year
1993
Tongue
English
Weight
429 KB
Volume
3
Category
Article
ISSN
0938-2259

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This paper studies controlled systems governed by Ito's stochastic differential equations where control variables are allowed to enter both drift and diffusion terms. Optimal controls are characterized by necessary and sufficient conditions which involve super-differentials and sub-differentials, ra