SIAM Journal on Control and Optimization · 1990 · 803 citations · 6 references
Natural SciencesMathematicsOptimizationStochastic ModelingStochastic ProcessesControl TheoryConvex OptimizationDiffusion ProcessesOptimal ControlStochastic ControlStochastic OptimizationMaximum PrinciplesNonlinear Optimal ControlOptimal Control Of Nonlinear SystemsOptimal Control Of Stochastic SystemsOptimal PoliciesStochastic Optimal Control
The maximum principle for nonlinear stochastic optimal control problems in the general case is proved. The control domain need not be convex, and the diffusion coefficient can contain a control variable.
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The Mathematical Theory of Optimal Processes.
E. K. Blum, Pontryagin, Boltyanskii et al. · American Mathematical Monthly · 1963 · 4.3K citations
Perturbation methods in optimal control
Mathematics and Computers in Simulation · 1988 · 268 citations