Stochastics and stochastics reports · 1994 · 31 citations · 8 references
EngineeringMathematicsDifferential EquationsStochastic ModelingStochastic ProcessesDiffusion ProcessesOptimal ControlStochastic CalculusStochastic ControlStochastic Differential EquationsStochastic Systems ModelingAdjoint Diffusion TheoryAdjoint FormulationDiffusion CoefficientsDiffusionsOptimal Control Of Stochastic SystemsStochastic FlowsStochastic Optimal ControlStochastic Partial Differential Equations
When the control parameter appears in both the drift and diffusion coefficients, Peng has derived a “second order” minimum principle in terms of an adjoint process . Peng has also characterized this process as the unique, adapted solution of a reverse time stochastic differential equation. Using stochastic flows this paper gives an explicit expression for .
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