On the Duality of Optimal Control Problems with Stochastic Differential Equations
The main achievement of this work is the development of a duality theory for optimal control problems with stochastic differential equations. Incipient with the Hamilton-Jacobi-Bellman equation we established a dual problem to a given stochastic control problem and were also able to generalise the a...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2008
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2202 |