RT Journal Article
T1 New approach to stochastic optimal control
A1 Josa-Fombellida, Ricardo
A1 Rincón-Zapatero, Juan Pablo
AB 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.
PB Springer
SN 0022-3239
YR 2007
FD 2007
LK https://hdl.handle.net/10016/5569
UL https://hdl.handle.net/10016/5569
LA eng
NO The original publication is available at www.springerlink.com
NO Two referees provided useful suggestions. Both authors gratefully acknowledge financial supportfrom the regional Government of Castilla y León (Spain) under Project VA099/04, the SpanishMinistry of Education and Science and FEDER funds under Project MTM2005-06534
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RD 24 may. 2024