<p>The main achievement of this work is the development of a duality theory for optimal control problems with stochastic differential equations. Incipient with the Hamilton-Jacobi-Bellman equation we established a dual problem to a given stochastic control problem and were also able to generalise the assembled theory.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-2202 |
| Date | January 2008 |
| Creators | Huschto, Tony |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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