Maximum principle for optimal control of stochastic system of functional type

DOI10.1080/07362999608809440zbMath0863.93084OpenAlexW1975039781MaRDI QIDQ5687773

Shige Peng, Ying Hu

Publication date: 10 June 1997

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999608809440

zbMATH Keywords

maximum principlestochastic optimal controladjoint equationsemilinear stochastic evolution control systemsstochastic system of functional type

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (13)

Stochastic maximum principle for SPDEs with delay ⋮ Sufficient conditions for optimality for stochastic evolution equations ⋮ Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs ⋮ Maximum principle for optimal control of neutral stochastic functional differential systems ⋮ Maximum principle for forward–backward SDEs with a general cost functional ⋮ Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty ⋮ Stochastic maximum principle for SPDEs with noise and control on the boundary ⋮ Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces ⋮ Existence of optimal and \(\varepsilon\)-optimal controls for the stochastic Navier-Stokes equation ⋮ Necessary conditions for optimality for stochastic evolution equations ⋮ Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity ⋮ Stochastic maximum principle for problems with delay with dependence on the past through general measures ⋮ Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems

This page was built for publication: Maximum principle for optimal control of stochastic system of functional type