CHARACTERIZATION OF OPTIMALITY FOR CONTROLLED DIFFUSION PROCESSES

摘要

This paper studies controlled systems governed by Ito's stochastic differential equations where control variables are allowed to enter both drift and diffusion terms. Optimal controls are characterized by necessary and sufficient conditions which involve super-differentials and sub-differentials, rather than derivatives, of the value functions. (C) 1997 Elsevier Science B.V. [References: 10]