The maximum principle for stochastic differential systems with general cost functional

被引：3

作者：

Yang, Shuzhen ^{[1
]}

机构：

[1] Shandong Univ, Inst Financial Studies, Jinan 250100, Shandong, Peoples R China

来源：

SYSTEMS & CONTROL LETTERS | 2016年 / 90卷

基金：

中国国家自然科学基金; 中国博士后科学基金;

关键词：

Stochastic differential equations; Stochastic maximum principle; Hamilton systems;

D O I：

10.1016/j.sysconle.2016.01.001

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, under the framework of Frechet derivatives, we study a stochastic optimal control problem driven by a stochastic differential equation with general cost functional. By constructing a series of first order and second-order adjoint equations, we establish the stochastic maximum principle and get the related Hamilton systems. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：1 / 6

页数：6

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