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| Stochastic Maximum Principle for Square-Integrable Optimal Control of Linear Stochastic Systems |
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Citation： |
Shanjian TANG,Xueqi WANG.Stochastic Maximum Principle for Square-Integrable Optimal Control of Linear Stochastic Systems[J].Chinese Annals of Mathematics B,2024,45(5):661~676 |
| Page view： 101
Net amount： 101 |
Authors： |
Shanjian TANG; Xueqi WANG |
Foundation： |
the National Natural Science Foundation of China (No. 12031009). |
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| Abstract： |
The authors give a stochastic maximum principle for square-integrable optimal
control of linear stochastic systems. The control domain is not necessarily convex and the
cost functional can have a quadratic growth. In particular, they give a stochastic maximum
principle for the linear quadratic optimal control problem. |
Keywords： |
Stochastic maximum principle, Optimal control, Linear stochastic
system, Square integrability |
Classification： |
60H10, 93E20 |
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