Maximum Principle of Stochastic Controlled Systems of Functional Type

被引：1
|
作者：
周迅宇
机构：
[1] Institute of Mathematics
[2] Fudan
来源：
Acta Mathematica Sinica | 1991年 / 03期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
<正> This paper studies the optimal controls of stochastic systems of functional type withend constraints. The systems considered may be degenerate and the. control region may benonconvex. A stochastic maximum principle is derived. The method is based on the idea thatstochastic systems are essentially infinite dimensional systems.
引用
收藏
页码：193 / 204
页数：12
相关论文
共 50 条
  • [31] A Maximum Principle for Forward-Backward Stochastic Control Systems with Integral-Type Constraint
    Wan, Hexiang
    PROCEEDINGS OF THE 32ND 2020 CHINESE CONTROL AND DECISION CONFERENCE (CCDC 2020), 2020, : 1278 - 1283
  • [32] A Stochastic Maximum Principle for a Stochastic Differential Game of a Mean-Field Type
    Hosking, John Joseph Absalom
    APPLIED MATHEMATICS AND OPTIMIZATION, 2012, 66 (03): : 415 - 454
  • [33] A Stochastic Maximum Principle for a Stochastic Differential Game of a Mean-Field Type
    John Joseph Absalom Hosking
    Applied Mathematics & Optimization, 2012, 66 : 415 - 454
  • [34] A Stochastic Maximum Principle for General Mean-Field Systems
    Rainer Buckdahn
    Juan Li
    Jin Ma
    Applied Mathematics & Optimization, 2016, 74 : 507 - 534
  • [35] A maximum principle for optimal control for a class of controlled systems
    Xu, WS
    JOURNAL OF THE AUSTRALIAN MATHEMATICAL SOCIETY SERIES B-APPLIED MATHEMATICS, 1996, 38 : 172 - 181
  • [36] On the maximum principle for relaxed control problems of nonlinear stochastic systems
    Meriem Mezerdi
    Brahim Mezerdi
    Advances in Continuous and Discrete Models, 2024
  • [37] On the maximum principle for relaxed control problems of nonlinear stochastic systems
    Mezerdi, Meriem
    Mezerdi, Brahim
    ADVANCES IN CONTINUOUS AND DISCRETE MODELS, 2024, 2024 (01):
  • [38] A Stochastic Maximum Principle for General Mean-Field Systems
    Buckdahn, Rainer
    Li, Juan
    Ma, Jin
    APPLIED MATHEMATICS AND OPTIMIZATION, 2016, 74 (03): : 507 - 534
  • [39] MAXIMUM PRINCIPLE FOR BACKWARD DOUBLY STOCHASTIC CONTROL SYSTEMS WITH APPLICATIONS
    Han, Yuecai
    Peng, Shige
    Wu, Zhen
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2010, 48 (07) : 4224 - 4241
  • [40] A sufficient maximum principle for backward stochastic systems with mixed delays
    Ma, Heping
    Jian, Hui
    Shi, Yu
    MATHEMATICAL BIOSCIENCES AND ENGINEERING, 2023, 20 (12) : 21211 - 21228
12345