Sufficient conditions of optimality for stochastic systems with controllable diffusions

IEEE Transactions on Automatic Control

Volumn 41, Issue 8, 1996, Pages 1176-1179

  Zhou, Xun Yu ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEM ANALYSIS; CONTROLLABILITY; DIFFERENTIAL EQUATIONS; STOCHASTIC CONTROL SYSTEMS; TRANSFER FUNCTIONS;

CONVEXITY CONDITIONS; OPTIMALITY CONDITIONS;

OPTIMAL CONTROL SYSTEMS;

EID: 0030211386     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/9.533678     Document Type: Article

References (10)

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4. F. H. Clarke, Optimization and Nonsmooth Analysis. New York: Wiley, 1983.
5. U. G. Haussmann, A Stochastic Maximum Principle for Optimal Control of Diffusions. Boston: Pitman, 1986.
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10. X. Y. Zhou, "A unified treatment of maximum principle and dynamic programming in stochastic controls," Stock. Rep., vol. 36, pp. 137-161, 1991.