The maximum principle for stochastic control problem with Markov chain in progressive structure

DOI10.1016/j.sysconle.2022.105303zbMath1498.93773OpenAlexW4283817306WikidataQ114129612 ScholiaQ114129612MaRDI QIDQ2169795

Zhen Wu, Tian Chen, Yuanzhuo Song

Publication date: 30 August 2022

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2022.105303

zbMATH Keywords

maximum principleMarkov chainadjoint equationprogressive structure

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (2)

A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain ⋮ Robust backward linear-quadratic differential game and team: a soft-constraint analysis

Cites Work

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