首页|Stochastic Maximum Principle for Square-Integrable Optimal Control of Linear Stochastic Systems
Stochastic Maximum Principle for Square-Integrable Optimal Control of Linear Stochastic Systems
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The authors give a stochastic maximum principle for square-integrable optimal control of linear stochastic systems.The control domain is not necessarily convex and the cost functional can have a quadratic growth.In particular,they give a stochastic maximum principle for the linear quadratic optimal control problem.
Stochastic maximum principleOptimal controlLinear stochastic systemSquare integrability
Shanjian TANG、Xueqi WANG
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Department of Finance and Control Sciences,School of Mathematical Sciences,Fudan University,Shanghai 200433,China
School of Mathematical Sciences,Fudan University,Shanghai 200433,China
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