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Maximum Principle for Stochastic Control in Continuous Time with Hard End Constraints |
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| Authors: | A Seierstad |
| Institution: | (1) Faculty of Cybernetics, Military University of Technology, Warsaw, Poland |
| Abstract: | A maximum principle is proved for certain problems of continuous–time stochastic control with hard end constraints (end constraints satisfied a.s.). In the problems, the dynamics (the state differential equation) changes at certain stochastic points in time. |
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