The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional
Optimization and Control
2016-09-15 v1
Abstract
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the stochastic maximum principle and sufficient optimality conditions for this new optimal control problem. A constraints problem also be studied. In the end, we develop a near optimal control problem for a general cost functional.
Keywords
Cite
@article{arxiv.1609.04188,
title = {The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional},
author = {Shuzhen Yang},
journal= {arXiv preprint arXiv:1609.04188},
year = {2016}
}
Comments
17 pages