Maximum principle for delayed stochastic linear-quadratic control problem with state constraint (Q1791411)
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scientific article; zbMATH DE number 6950964
| Language | Label | Description | Also known as |
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| English | Maximum principle for delayed stochastic linear-quadratic control problem with state constraint |
scientific article; zbMATH DE number 6950964 |
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Maximum principle for delayed stochastic linear-quadratic control problem with state constraint (English)
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10 October 2018
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Summary: This paper is concerned with one kind of delayed stochastic linear-quadratic optimal control problems with state constraints. The control domain is not necessarily convex and the control variable does not enter the diffusion coefficient. Necessary conditions in the form of maximum principle as well as sufficient conditions are established.
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