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- Publisher
- Springer Journals
- Copyright
- Copyright
- Subject
- Mathematics; Computational Mathematics and Numerical Analysis; Applications of Mathematics; Partial Differential Equations; Probability Theory and Stochastic Processes; Calculus of Variations and Optimal Control; Optimization
- ISSN
- 0167-8019
- eISSN
- 1572-9036
- DOI
- 10.1007/BF00998149
- Publisher site
- See Article on Publisher Site
Abstract
A new approach to the optimal control of diffusion processes based on Lagrange functionals is presented. The method is conceptually and technically simpler than existing ones. A first class of functionals allows to obtain optimality conditions without any resort to stochastic calculus and functional analysis. A second class, which requires Ito's rule, allows to establish optimality in a larger class of problems. Calculations in these two methods are sometimes akin to those in minimum principles and in dynamic programming, but the thinking behind them is new. A few examples are worked out to illustrate the power and simplicity of this approach.
Journal
Acta Applicandae Mathematicae – Springer Journals
Published: Jan 3, 2005