A stochastic maximum principle for linear quadratic problem with nonconvex control domain

DOI10.3934/mcrf.2019022zbMath1427.93277OpenAlexW2940196676WikidataQ127984243 ScholiaQ127984243MaRDI QIDQ2280172

Xiaole Xue, Shaolin Ji

Publication date: 18 December 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2019022

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equationconvex perturbationstochastic linear quadratic problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Related Items (1)

A minimum principle for stochastic optimal control problem with interval cost function

Cites Work

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