Publication | Closed Access
A General Stochastic Maximum Principle for Optimal Control Problems
792
Citations
6
References
1990
Year
Mathematical ProgrammingControl VariableEngineeringOptimal Control ProblemsDiffusion CoefficientStochastic CalculusMathematical Control TheoryMaximum PrincipleProbability TheoryStochastic ControlStochastic Differential EquationDynamic Optimization
The maximum principle for nonlinear stochastic optimal control problems in the general case is proved. The control domain need not be convex, and the diffusion coefficient can contain a control variable.
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