Sufficient controls in dynamical stochastic optimization problems
β Scribed by V. I. Rotar'
- Publisher
- SP MAIK Nauka/Interperiodica
- Year
- 1986
- Tongue
- English
- Weight
- 402 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0001-4346
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## SUMMARY Peng first introduced the notion of GβBrownian motion and Gβexpectation and established the stochastic calculus with respect to GβBrownian motion in 2006. In this paper, we investigate the stochastic optimal control problems under Gβexpectation and obtain dynamic programming principle. T
## Abstract In this paper we derive sufficient conditions for optimal control problems with mixed control and state constraints by applying a dual approach to the dynamic programming. These conditions guarantee that a relative minimum is achieved. We seek an optimal pair in the class of those admis