Stochastic maximum principle for optimal control with multiple priors

被引：5
作者：
Xu, Yuhong [1 ,2 ,3 ,4 ]
机构：
[1] Soochow Univ, Math Ctr Interdiscipline Res, Suzhou 215006, Peoples R China
[2] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
[3] Univ Brest, Lab Math Bretagne Atlantique, F-29200 Brest, France
[4] Shandong Univ, Inst Math, Jinan 250100, Peoples R China
来源：
SYSTEMS & CONTROL LETTERS | 2014年 / 64卷
关键词：
Stochastic maximum principle; Multiple priors; G-expectation; G-Brownian motion;
D O I：
10.1016/j.sysconle.2013.12.001
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The necessary condition is derived for optimal control with multiple priors which are mutually singular. The tool we use is the theory of G-expectation. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：114 / 118
页数：5
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