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Adjoint processes in stochastic optimal control problems

 

作者: T. YONEYAMA,  

 

期刊: International Journal of Control  （Taylor Available online 1984）
卷期: Volume 39, issue 3  

页码: 423-431

 

ISSN:0020-7179

 

年代: 1984

 

DOI:10.1080/00207178408933177

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The paper investigates the relationships between the various versions of the adjoint process which arise in the problem of stochastic optimal control with complete observations. The state process is assumed to be adequately described by a stochastic differential equation driven by a Wiener process with the terminal time givena priori.

 

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