Stochastic maximum principle for optimal control problem with a stopping time cost functional

DOI10.1080/00207179.2021.1872801zbMath1492.93177arXiv1812.03474OpenAlexW3120484221MaRDI QIDQ5095510

Shuzhen Yang

Publication date: 9 August 2022

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.03474

zbMATH Keywords

stochastic differential equationsstopping timestochastic maximum principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99) Stochastic systems in control theory (general) (93E03)

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