A STOCHASTIC MAXIMUM PRINCIPLE WITH DISSIPATIVITY CONDITIONS

被引：4

作者：

Orrieri, Carlo ^{[1
]}

机构：

[1] Univ Pavia, Dipartimento Matemat, I-27100 Pavia, Italy

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS | 2015年 / 35卷 / 11期

关键词：

Stochastic maximum principle; dissipative systems; backward stochastic differential equation; stochastic optimal control; necessary conditions for optimality;

D O I：

10.3934/dcds.2015.35.5499

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual Lipschitz assumption on the drift term and substitute it with dissipativity conditions, allowing polynomial growth. The control enters both the drift and the diffusion term and takes values in a general metric space.

引用

页码：5499 / 5519

页数：21

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