The variational principle for optimal control of diffusions with partial information

  • Elliott R
  • Kohlmann M
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Abstract

Strong variations are described for the ε{lunate}-optimal control of a class of control problems for systems described by stochastic diffusion equations. The differentiation process developed identifies the adjoint process. © 1989.

Author-supplied keywords

  • Stochastic control
  • diffusion equation
  • minimum principle
  • stochastic differential equations

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