The variational principle and stochastic optimal control
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 3 (1-4) , 229-241
- https://doi.org/10.1080/17442508008833147
Abstract
Using a non-convex minimization result of Ekeland it is shown that an “almost optimal” control almost surely minimizes the conditional expectation of the Hamiltonian of the stochastic system, when the expectation is taken with respect to the observed ff-fieldKeywords
This publication has 4 references indexed in Scilit:
- Nonconvex minimization problemsBulletin of the American Mathematical Society, 1979
- The Optimal Control of a Stochastic SystemSIAM Journal on Control and Optimization, 1977
- On the variational principleJournal of Mathematical Analysis and Applications, 1974
- Capacités et processus stochastiquesPublished by Springer Nature ,1972