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arXiv:1302.3455 [math.OC]AbstractReferencesReviewsResources

Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls

Nasir U. Ahmed, Charalambos D. Charalambous

Published 2013-02-14Version 1

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous diffusion and Jump processes.

Comments: Pages 23, Submitted to SIAM Journal on Control and Optimization
Categories: math.OC
Subjects: 49J55, 49K45, 93E20
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