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The variational principle and stochastic optimal control

 

作者: Robert J. Elliott,   Kohlmann Michael,  

 

期刊: Stochastics  （Taylor Available online 1980）
卷期: Volume 3, issue 1-4  

页码: 229-241

 

ISSN:0090-9491

 

年代: 1980

 

DOI:10.1080/17442508008833147

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

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-field

 

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