Open AccessStochastic optimal control — A concise introduction
Author(s) -
Jiongmin Yong
Publication year - 2020
Publication title -
mathematical control and related fields
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.658
H-Index - 21
eISSN - 2156-8472
pISSN - 2156-8499
DOI - 10.3934/mcrf.2020027
Subject(s) - optimal control , stochastic control , stochastic differential equation , mathematics , maximum principle , stochastic partial differential equation , viscosity solution , dynamic programming , riccati equation , linear quadratic gaussian control , stochastic programming , bellman equation , ordinary differential equation , mathematical optimization , differential equation , mathematical analysis
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