Convex Duality Approach to the Optimal Control or Diffusions,

Abstract

Partial contents: the weak formulation of the problem; duality and the Hamilton-Jacobi problem; equivalence of the Strong and weak formulations; a Sobolev approximation of the value function; Semi-continuous costs; inclusion of terminal penalties. Keywords: Stochastic differential equations; Mathematical programming; Control theory.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1988
Accession Number
ADA194535

Entities

People

  • Domokos Vermes
  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Brownian Motion
  • Coefficients
  • Control Theory
  • Differential Equations
  • Diffusion
  • Diffusion Coefficient
  • Equations
  • Families (Human)
  • Inequalities
  • Mathematical Programming
  • Mathematics
  • Probability
  • Security
  • Sequences
  • Stochastic Control
  • Universities

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Mathematical Modeling and Probability Theory.
  • Operations Research