ISSN:
1573-2878
Keywords:
Calculus of variations
;
stochastic optimization
;
necessary conditions
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract A stochastic version of the modified Young's generalized necessary conditions in the calculus of variations is given in this paper. It is based on an extension of Minkowski's theorem on the existence of a flat support for a convex figure, and it generalizes the necessary conditions of Weierstrass and Euler in the classical theory of the calculus of variations to a class of admissible curves which are expressible in terms of a finite number of random parameters. The integrals which we consider here are in the general Denjoy sense, except those with respect to the random parameters, which exist in the Lebesgue sense defined on a probability space. The importance of our stochastic analysis lies in the completion that a minimum not attained in the classical sense may be, and frequently is, attained in the stochastic case.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00932297
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