Robust stochastic maximum principle: Complete proof and discussions
This paper develops a version of Robust Stochastic Maximum Principle (RSMP) applied to the Minimax Mayer Problem formulated for stochastic differential equations with the control-dependent diffusion term. The parametric families of first and second order adjoint stochastic processes are introduced t...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2002-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1080/10241230306722 |