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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
The classical maximum principle for optimal stochastic control states that if a control û is optimal, then the corresponding Hamiltonian has a maximum at u=û. The first proofs for this result assumed that the control did ...