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On transversality conditions for the stochastic maximum principle. (Russian) Zbl 0671.49033
Author’s summary: “An optimal control problem for a stochastic differential equation is considered and necessary optimality conditions in the form of Pontryagin’s maximum principle are obtained. Initial state and the final time are not given in advance and are subject to optimal choice. From here additional stochastic transversality conditions arise.”
Reviewer: P.Přikryl

MSC:
49K45 Optimality conditions for problems involving randomness
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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