Maximum Principle for Stochastic Control in Continuous Time with Hard End Constraints

被引：0

作者：

A. Seierstad

机构：

[1] University of Oslo,Department of Economics

来源：

Journal of Optimization Theory and Applications | 2010年 / 144卷

关键词：

Stochastic maximum principle; Hard end constraints;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

A maximum principle is proved for certain problems of continuous–time stochastic control with hard end constraints (end constraints satisfied a.s.). In the problems, the dynamics (the state differential equation) changes at certain stochastic points in time.

引用

页码：335 / 365

页数：30

共 4 条

[1]

Kushner H.J.(1972)Necessary conditions for continuous parameter stochastic optimization problem SIAM J. Control Optim. 10 550-565

[2]

Peng S.(1990)A general stochastic maximum principle for optimal control problems SIAM J. Control Optim. 28 966-979

[3]

Seierstad A.(1970)A local attainability property for control systems defined by nonlinear ordinary differential equations in a Banach space J. Differ. Equ. 8 475-487

[4]

Seierstad A.(1975)An extension to Banach space of Pontryagin’s maximum principle J. Optim. Theory Appl. 17 293-335

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