Accession Number : ADA194535

Title :   Convex Duality Approach to the Optimal Control or Diffusions,

Corporate Author : BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Fleming, Wendell H ; Vermes, Domokos

PDF Url : ADA194535

Report Date : Jan 1988

Pagination or Media Count : 30

Abstract : Partial contents: the weak formulation of the problem; duality and the Hamilton-Jacobi problem; equivalence of the Strong and weak formulations; a Sobolev approximation of the value function; Semi-continuous costs; inclusion of terminal penalties. Keywords: Stochastic differential equations; Mathematical programming; Control theory.

Descriptors :   *CONTROL THEORY, *MATHEMATICAL PROGRAMMING, CONTROL, CONVEX BODIES, DIFFERENTIAL EQUATIONS, FORMULATIONS, OPTIMIZATION, STOCHASTIC PROCESSES, DIFFUSION, AIR FORCE RESEARCH

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE