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

被引：0

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

关键词：

D O I：

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学科分类号：

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.

引用

页码：661 / 676

页数：16

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