A necessary extremality condition for a set-valued stochastic control problem

Hagen Fritsch

Mathematical Methods of Operations Research, 1997, vol. 46, issue 1, 29-49

Abstract: For a controlled stochastic dynamic system with set-valued drift coefficient and a terminal cost functional we derive a necessary extremality condition in form of a minimum principle. Copyright Physica-Verlag 1997

Keywords: Optimal Control; Set-valued Stochastic Dynamic System; Controlled Differential Inclusion; Stochastic Minimum Principle (search for similar items in EconPapers)
Date: 1997
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/BF01199462 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:46:y:1997:i:1:p:29-49

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/BF01199462

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().