Maximum principle for delayed stochastic linear-quadratic control problem with state constraint

DOI10.1155/2013/964765MaRDI QIDQ1791411zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Feng Zhang

Publication date 10 October 2018

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2013/964765

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Review text

Summary: This paper is concerned with one kind of delayed stochastic linear-quadratic optimal control problems with state constraints. The control domain is not necessarily convex and the control variable does not enter the diffusion coefficient. Necessary conditions in the form of maximum principle as well as sufficient conditions are established.

Recommendations

• Maximum principle for one kind of stochastic delay optimal control problem with state constraint
• Maximum principle for delayed stochastic mean-field control problem with state constraint
• Maximum principle for a stochastic delayed system involving terminal state constraints
• Maximum principle for near-optimality of stochastic delay control problem
• Stochastic optimal control problem with delay

Cited in

(7)

• Maximum principle for near-optimality of stochastic delay control problem
• A stochastic maximum principle for linear quadratic problem with nonconvex control domain
• Linearized maximum principle for neutral-type, variable-structure optimal problems with delays in controls
• Maximum principle for delayed stochastic mean-field control problem with state constraint
• scientific article; zbMATH DE number 7338520 (Why is no real title available?)
• Maximum principle for one kind of stochastic delay optimal control problem with state constraint
• Maximum principle for a stochastic delayed system involving terminal state constraints

This page was built for publication: Maximum principle for delayed stochastic linear-quadratic control problem with state constraint

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1791411)