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Stochastic calculus of variations

Published online by Cambridge University Press:  01 July 2016

Wendell H. Fleming
Wendell H. Fleming*
Affiliation:
Brown University
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Extract

We consider an analogue of classical calculus of variations, in which deterministic comparison curves are replaced by stochastic processes xt, of the form with ut a control applied at time t and wt a brownian motion. Connections with stochastic mechanics and non-linear filtering are discussed, as well as the deterministic limit as λ → 0.

Type
Applied Probability in Biology and Engineering. An ORSA/TIMS Special Interest Meeting
Information
Advances in Applied Probability , Volume 16 , Issue 1 , March 1984 , pp. 14 - 15
Copyright
Copyright © Applied Probability Trust 1984 

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