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Finance pp 246-251 | Cite as

Stochastic Optimal Control

  • A. G. Malliaris
Part of the The New Palgrave book series (NPA)

Abstract

In the long history of mathematics, stochastic optimal control is a rather recent development. Using Bellman’s Principle of Optimality along with measure-theoretic and functional-analytic methods, several mathematicians such as H. Kushner, W. Fleming, R. Rishel. W.M. Wonham and J.M. Bismut, among many others, made important contributions to this new area of mathematical research during the 1960s and early 1970s. For a complete mathematical exposition of the continuous time case see Fleming and Rishel (1975) and for the discrete time case see Bertsekas and Shreve (1978).

Keywords

Stochastic Optimal Control Discrete Time Case Continuous Time Case Stochastic Optimal Control Problem Optimal Saving 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Bibliography

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Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1989

Authors and Affiliations

  • A. G. Malliaris

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