Stochastic Linear Quadratic Optimal Control with General Control Domain
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Publication:6293276
arXiv1710.11302MaRDI QIDQ6293276FDOQ6293276
Authors: Shaolin Ji, Xiaole Xue 
Publication date: 30 October 2017
Abstract: This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of the proposed maximum principle is illustrated through a work-out example.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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