Showing 1 - 2 of 2
We show how the classical Lagrangian approach to solving constrained optimization problems from standard calculus can be extended to solve continuous time stochastic optimal control problem. Connections to mainstream approaches such as the Hamilton-Jacobi-Bellman equation and the stochastic...
Persistent link: https://www.econbiz.de/10013295408
Persistent link: https://www.econbiz.de/10014529902