The maximum principle for stochastic differential systems with general cost functional

DOI10.1016/j.sysconle.2016.01.001zbMath1335.93147OpenAlexW2281061786MaRDI QIDQ254612

Shuzhen Yang

Publication date: 8 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2016.01.001

zbMATH Keywords

stochastic differential equationsstochastic maximum principleHamilton systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional ⋮ Stochastic maximum principle for optimal control problem with a stopping time cost functional ⋮ The connection between discrete and continuous state constrained optimal control systems

Cites Work

• A quasi-sure approach to the control of non-Markovian stochastic differential equations
• Controlled Markov processes and viscosity solutions
• A General Stochastic Maximum Principle for Optimal Control Problems
• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
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