This is a preview of subscription content, log in via an institution to check access.
Preview
Unable to display preview. Download preview PDF.
References
V.I. Arkin and M.T. Saksonov. Necessary optimality conditions in control problems for stochastic differential equations. Soviet Mathematics Doklady, 20(1)(1979).
C. Dellacherie. Capacities et processus stochastiques. Springer-Verlag, Berlin, 1972.
J. Ekeland. On the variational principle. Journal of Mathematical Analysis and Applications, 47(1974)324–353.
B.N. Pshenichnii. Convex Analysis and Extremum Problems. Nauka, Moscow, 1980.
V.I. Arkin and M.T. Saksonov. On the stochastic maximum principle, and stochastic differential systems. Proceedings of IFIP-WG, 7/1, Springer-Verlag, Vilnius, 1978.
Author information
Authors and Affiliations
Editor information
Rights and permissions
Copyright information
© 1986 International Institute for Applied Systems Analysis
About this paper
Cite this paper
Saksonov, M.T. (1986). The maximum principle in stochastic problems with non-fixed random control time. In: Arkin, V.I., Shiraev, A., Wets, R. (eds) Stochastic Optimization. Lecture Notes in Control and Information Sciences, vol 81. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007094
Download citation
DOI: https://doi.org/10.1007/BFb0007094
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-16659-7
Online ISBN: 978-3-540-39841-7
eBook Packages: Springer Book Archive