Stochastic Maximum Principle for Square-Integrable Optimal Control of Linear Stochastic Systems

被引：0
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作者：
Shanjian TANG [1 ]
Xueqi WANG [2 ]
机构：
[1] Department of Finance and Control Sciences, School of Mathematical Sciences, Fudan University
[2] School of Mathematical Sciences, Fudan
来源：
Chinese Annals of Mathematics,Series B | 2024年 / 05期
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摘要：
The authors give a stochastic maximum principle for square-integrable optimal control of linear stochastic systems. The control domain is not necessarily convex and the cost functional can have a quadratic growth. In particular, they give a stochastic maximum principle for the linear quadratic optimal control problem.
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页数：16
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