A Short Review of Stochastic Global Maximum Principle

被引：0

作者：

Lou, Zhihui ^{[1
]}

Cheng, Yanran ^{[1
]}

机构：

[1] Yiwu Ind & Commercial Coll, Jinhua 322000, Zhejiang, Peoples R China

来源：

PROCEEDINGS OF THE 39TH CHINESE CONTROL CONFERENCE | 2020年

关键词：

Maximum principle; Variational equation; Adjoint equation; Backward stochastic differential equation; Recursive stochastic optimal control;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Stochastic global maximum principle is an important tool in solving stochastic optimal control problems. In this paper, we give a short review of the stochastic global maximum principle on the stochastic optimal control problems, recursive stochastic optimal control problems and the fully coupled case.

引用

页码：921 / 925

页数：5

共 4 条

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Hu, Mingshang ;

Ji, Shaolin ;

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SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2018, 56 (06) :4309-4335

[2]

Hu MS, 2017, PROBAB UNCERTAIN QUA, V2, DOI 10.1186/s41546-017-0014-7

[3] A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR OPTIMAL-CONTROL PROBLEMS [J].

PENG, SG .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1990, 28 (04) :966-979

[4]

Peng SG, 1999, INT FED INFO PROC, V13, P265

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