The maximum principle for stochastic differential systems with general cost functional

DOI10.1016/j.sysconle.2016.01.001zbMath1335.93147MaRDI QIDQ254612

Shuzhen Yang

Publication date: 8 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2016.01.001

zbMATH Keywords

stochastic differential equations; stochastic maximum principle; Hamilton systems

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness