Davis, M. H. A. On the existence of optimal policies in stochastic control. (English) Zbl 0238.93044 SIAM J. Control 11, 587-594 (1973). Summary: In this paper a sufficient condition is presented for the existence of an optimal control for a system described by stochastic differential equations, the solutions of which are defined for any non-anticipative control policy, by the Girsanov measure transformation technique. The result is that if a Hamiltonian function achieves its infimum pointwise then an optimal nonanticipative policy exists. Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 2 ReviewsCited in 18 Documents MSC: 93E20 Optimal stochastic control PDF BibTeX XML Cite \textit{M. H. A. Davis}, SIAM J. Control 11, 587--594 (1973; Zbl 0238.93044) Full Text: DOI