Title :
Nonsmooth analysis on stochastic controls: A survey
Author_Institution :
Fac. of Manag., Toronto Univ., Ont., Canada
Abstract :
A survey of recent results on the maximum principle, dynamic programming and their connection in stochastic controls via nonsmooth analysis is presented. The emphasis is placed upon the viscosity solution approach and the particular role of adjoint equations. Some results on the relationship between the viscosity solution and F. H. Clarke´s (1983) generalized gradient are considered
Keywords :
dynamic programming; maximum principle; stochastic systems; adjoint equations; dynamic programming; generalized gradient; maximum principle; nonsmooth analysis; stochastic controls; viscosity solution; Bridges; Dynamic programming; Equations; Joining processes; Mathematics; Optimal control; Stochastic processes; Viscosity;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371359
