Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls
Optimization and Control
2013-02-15 v1
Abstract
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.
Cite
@article{arxiv.1302.3455,
title = {Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls},
author = {Nasir U. Ahmed and Charalambos D. Charalambous},
journal= {arXiv preprint arXiv:1302.3455},
year = {2013}
}
Comments
Pages 23, Submitted to SIAM Journal on Control and Optimization