Singular Optimal Control: The Linear-Quadratic Problem

1978 ◽  
Keyword(s):  
Optimal Control ◽  
Linear Quadratic ◽  
Quadratic Problem ◽  
Singular Optimal Control

Robust optimal control for minimax stochastic linear quadratic problem

2002 ◽  
Vol 75 (14) ◽  
pp. 1054-1065 ◽  
Author(s):  
A. S. Poznyak ◽  
T. E. Duncan ◽  
B. Pasik-Duncan ◽  
V. G. Boltyansky
Keyword(s):  
Optimal Control ◽  
Linear Quadratic ◽  
Quadratic Problem ◽  
Robust Optimal Control

scholarly journals Stochastic maximum principle for systems driven by local martingales with spatial parameters

2021 ◽  
Vol 6 (3) ◽  
pp. 213
Author(s):  
Jian Song ◽  
Meng Wang
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Stochastic Maximum Principle ◽  
Necessary Condition ◽  
Local Martingale ◽  
Linear Quadratic ◽  
Quadratic Problem ◽  
Spatial Parameter ◽  
Stochastic Optimal Control Problem ◽  
Spatial Parameters

<p style='text-indent:20px;'>We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the stochastic maximum principle as the necessary condition for an optimal control, and we also prove its sufficiency under proper conditions. The stochastic linear quadratic problem in this setting is also discussed.</p>

Sign in / Sign up

Export Citation Format

Share Document