Publication:
New approach to stochastic optimal control

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URI: https://hdl.handle.net/10016/5569
ISSN: 0022-3239
DOI: 10.1007/s10957-007-9262-5
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new_rincon-zapatero_JOTA_2007_ps.pdf (688.5 KB)
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2007
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Springer
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Abstract
This paper provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region.
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The original publication is available at www.springerlink.com
Keywords
Optimal stochastic control, Itòs formula, Halminton-Jacobi-Bellman equation, Semilinear equation
Bibliographic citation
Journal of Optimization Theory and Applications. 2007, vol. 135, nº 1, p. 163-177
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