A necessary extremality condition for a set-valued stochastic control problem

For a controlled stochastic dynamic system with set-valued drift coefficient and a terminal cost functional we derive a necessary extremality condition in form of a minimum principle. Copyright Physica-Verlag 1997

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Year of publication:	1997
Authors:	Fritsch, Hagen
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 46.1997, 1, p. 29-49
Publisher:	Springer
Subject:	Optimal Control \| Set-valued Stochastic Dynamic System \| Controlled Differential Inclusion \| Stochastic Minimum Principle

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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