Optimal Control of Diffusion Processes with Terminal Constraint in Law View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2022-06-25

AUTHORS

Samuel Daudin

ABSTRACT

Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker–Planck equation and a backward Hamilton–Jacobi–Bellman equation are proved using convex duality techniques.

PAGES

1-41

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10957-022-02053-8

DOI

http://dx.doi.org/10.1007/s10957-022-02053-8

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1148970108


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