3. Determining optimal control. Maximum principle
In order to simplify the presentation of the results, we will use a quantity, called the Hamiltonian of the system, defined by the relation :
...
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Determining optimal control. Maximum principle
References
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(1) - ASTRÖM (K.J.) -
Introduction to stochastic control theory,
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Academic Press (1970).
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(2) - BORNE (P.), DAUPHIN-TANGUY (G.), RICHARD (J.P.), ROTELLA (F.), ZAMBETTAKIS (I.) -
Commande et optimisation des processus,
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Technip (1990).
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