A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR OPTIMAL-CONTROL PROBLEMS

被引：520

作者：

PENG, SG ^{[1
]}

机构：

[1] SHANDONG UNIV,INST MATH,JINAN,PEOPLES R CHINA

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1990年 / 28卷 / 04期

关键词：

D O I：

10.1137/0328054

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 maximum principle for nonlinear stochastic optimal control problems in the general case is proved. The control domain need not be convex, and the diffusion coefficient can contain a control variable.

引用

页码：966 / 979

页数：14

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