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Optimal Control of Diffusions

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Abstract. We prove a version of Pontryagin's maximum principle for time and norm optimal control of linear diffusion processes. This result includes both necessary and sufficient conditions and implies a ``concentration principle'' for the optimal measure-valued controls.

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  1. Department of Mathematics, University of California, Los Angeles, CA 90095-1555, USA hof@math.ucla.edu, , , , , , US

    O. Fattorini

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  1. O. Fattorini
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O. Fattorini, . Optimal Control of Diffusions . Appl Math Optim 46, 207–230 (2002). https://doi.org/10.1007/s00245-002-0743-5

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  • DOI: https://doi.org/10.1007/s00245-002-0743-5

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