Stochastic maximum principle for square-integrable optimal control of linear stochastic systems

DOI10.1007/s11401-024-0032-6MaRDI QIDQ6632206

Shanjian Tang, Xueqi Wang

Publication date: 4 November 2024

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

optimal controlstochastic maximum principlelinear stochastic systemssquare integrability

Mathematics Subject Classification ID

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

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