A General Stochastic Maximum Principle for Optimal Control Problems
Author:
- Shige PengSPShige Peng
- 1 May 1990
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 28 (4) , 966-979
Abstract
The maximum principle for nonlinear stochastic optimal control problems in the general case is proved. The control domain need not be convex, and the diffusion coefficient can contain a control variable.Keywords
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