Stochastic maximum principle for optimal control problem with a stopping time cost functional

DOI10.1080/00207179.2021.1872801MaRDI QIDQ5095510zbMATH OpenOpenAlexFDO

Authors Shuzhen Yang

Publication date 9 August 2022

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.03474

zbMATH Keywords

stochastic differential equationsstochastic maximum principlestopping time

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Abstract: In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by introducing a discrete terminal system. Finally, we provide an example to describe the main results of this study.

Recommendations

• A maximum principle for a stochastic control problem with multiple random terminal times
• An optimal control problem with a random stopping time
• Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
• The research on singular stochastic control problem with stopping
• scientific article; zbMATH DE number 3950353

Cites work

• A General Stochastic Maximum Principle for Optimal Control Problems
• A varying terminal time structure for stochastic optimal control under constrained condition
• An Introductory Approach to Duality in Optimal Stochastic Control
• Continuous-time mean-variance portfolio selection with random horizon
• Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
• Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 3797648 (Why is no real title available?)
• Linear-quadratic optimal sampled-data control problems: convergence result and Riccati theory
• Maximum principle for optimal control problems with intermediate constraints
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Multi-period portfolio selection for asset-liability management with uncertain investment horizon
• Near-optimal control for stochastic recursive problems
• Near-optimal control problems for linear forward-backward stochastic systems
• Near-optimal controls of random-switching LQ problems with indefinite control weight costs
• Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
• Optimal sampled-data control, and generalizations on time scales
• Pontryagin maximum principle for finite dimensional nonlinear optimal control problems on time scales
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• The hybrid maximum principle is a consequence of Pontryagin's maximum principle
• The maximum principle for stochastic differential systems with general cost functional

Cited in

(6)

• An optimal control problem with a random stopping time
• Optimal control computation for nonlinear systems with state-dependent stopping criteria
• scientific article; zbMATH DE number 5159430 (Why is no real title available?)
• A mixed optimal stopping and control problem for linear stochastic systems under quadratic costs
• A varying terminal time structure for stochastic optimal control under constrained condition
• Characterization of stochastic control with optimal stopping in a Sobolev space

This page was built for publication: Stochastic maximum principle for optimal control problem with a stopping time cost functional

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5095510)