Stochastic maximum principle for optimal control problem with a stopping time cost functional
Optimization and Control
2018-12-11 v1
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.
Cite
@article{arxiv.1812.03474,
title = {Stochastic maximum principle for optimal control problem with a stopping time cost functional},
author = {Shuzhen Yang},
journal= {arXiv preprint arXiv:1812.03474},
year = {2018}
}
Comments
19. arXiv admin note: text overlap with arXiv:1610.05843