Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional

DOI10.1016/j.sysconle.2018.02.002zbMath1388.93108arXiv1609.04188OpenAlexW2964132470MaRDI QIDQ1643394

Shuzhen Yang

Publication date: 19 June 2018

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04188

zbMATH Keywords

stochastic differential equationsstochastic maximum principleconstrained conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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