Stochastic Optimal Control Problems

Michał Kisielewicz
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Michał Kisielewicz: University of Zielona Góra

Chapter Chapter 7 in Stochastic Differential Inclusions and Applications, 2013, pp 253-273 from Springer

Abstract: Abstract This chapter contains some optimal control problems for systems described by stochastic functional and partial differential inclusions. The existence of optimal controls and optimal solutions for such systems is a consequence of the weak compactness of the set $$\mathcal{X}_{sx}(F,G)$$ of all weak solutions of (equivalence classes of) SFI(F, G) satisfying an initial condition x s = x, measurable selection theorems, and stochastic representation theorems for solutions of partial differential inclusions presented in Chap. 6. We begin with introductory remarks dealing with optimal control problems of systems described by stochastic differential equations.

Keywords: Weak Solution; Optimal Control Problem; Stochastic Differential Equation; Stochastic Control; Admissible Pair (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-6756-4_7

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DOI: 10.1007/978-1-4614-6756-4_7

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