Stochastic Controls : Hamiltonian Systems and HjB Equations (Applications of Mathematics Vol.43) (1999. XXII, 438 p. 24,5 cm)

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In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case.

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