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Conjugate convex functions in optimal stochastic control. (English) Zbl 0276.93060

93E20Optimal stochastic control (systems)
60H99Stochastic analysis
Full Text: DOI
[1] Bismut, J. M.: Analyse convexe et probabilités. Doctoral dissertation (1973)
[2] J. M. Bismut, An existence result in optimal stochastic control, to appear.
[3] M. H. Davis and P. P. Varaiya, Dynamic programming conditions for partially observable systems, to appear. · Zbl 0258.93029
[4] Doob, J. L.: Stochastic processes. (1952)
[5] Gikhman, I. I.; Shorokhod, A. V.: Introduction to the theory of random processes. (1969)
[6] Kushner, H. J.: Stochastic stability and control. (1967) · Zbl 0244.93065
[7] Meyer, P. A.: Probabilités et potentiels. (1966)
[8] Meyer, P. A.: Intégrales stochastiques. Lecture notes in mathematics, no. 39, 72-162 (1967)
[9] Moreau, J. J.: Fonctionnelles convexes. Séminaire d’équations aux dérivés partielles (1966--1967)
[10] Rockafellar, R. T.: Integrals which are convex functionals. Pacific J. Math. 24, 525-539 (1968) · Zbl 0159.43804
[11] Rockafellar, R. T.: Measurable dependence of convex sets and functions on parameters. J. math. Anal. appl. 28, 4-25 (1969) · Zbl 0202.33804
[12] Rockafellar, R. T.: Convex analysis. (1970) · Zbl 0193.18401
[13] Rockafellar, R. T.: Conjugate convex functions in optimal control and the calculus of variations. J. math. Anal. appl. 32, 174-222 (1970) · Zbl 0218.49004