A General Stochastic Maximum Principle for Optimal Control Problems

Shige Peng

doi:10.1137/0328054

A General Stochastic Maximum Principle for Optimal Control Problems

SIAM Journal on Control and Optimization ◽

10.1137/0328054 ◽

1990 ◽

Vol 28 (4) ◽

pp. 966-979 ◽

Cited By ~ 367

Author(s):

Shige Peng

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Control Problems ◽

General Stochastic

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Stochastic maximum principle for optimal control problems involving delayed systems

Science China Information Sciences ◽

10.1007/s11432-019-2826-3 ◽

2020 ◽

Vol 64 (1) ◽

Author(s):

Feng Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Delayed Systems

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The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Automatica ◽

10.1016/j.automatica.2012.06.082 ◽

2012 ◽

Vol 48 (10) ◽

pp. 2420-2432 ◽

Cited By ~ 43

Author(s):

Zhiyong Yu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Delay Systems ◽

Control Problems ◽

Impulse Controls

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Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

IEEE Transactions on Automatic Control ◽

10.1109/tac.2011.2114990 ◽

2011 ◽

Vol 56 (6) ◽

pp. 1401-1406 ◽

Cited By ~ 20

Author(s):

Zhen Wu ◽

Feng Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Impulse Controls

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A stochastic maximum principle in mean-field optimal control problems for jump diffusions

Arab Journal of Mathematical Sciences ◽

10.1016/j.ajmsc.2013.02.001 ◽

2013 ◽

Vol 19 (2) ◽

pp. 223-241 ◽

Cited By ~ 3

Author(s):

Farid Chighoub ◽

Brahim Mezerdi

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Mean Field ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Jump Diffusions

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Stochastic Maximum Principle for Partially Observed Optimal Control Problems of General McKean–Vlasov Differential Equations

Bulletin of the Iranian Mathematical Society ◽

10.1007/s41980-020-00426-1 ◽

2020 ◽

Author(s):

Imad Eddine Lakhdari ◽

Hakima Miloudi ◽

Mokhtar Hafayed

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Differential Equations ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Partially Observed

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Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls

Journal of Systems Science and Complexity ◽

10.1007/s11424-016-5039-y ◽

2016 ◽

Vol 30 (2) ◽

pp. 280-306 ◽

Cited By ~ 5

Author(s):

Shujun Wang ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Delay Systems ◽

Control Problems ◽

Impulse Controls

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The stochastic maximum principle for jump-diffusion optimal control problems of delay systems involving continuous and impulse controls and its applications to finance

2019 Chinese Control And Decision Conference (CCDC) ◽

10.1109/ccdc.2019.8832431 ◽

2019 ◽

Author(s):

Cailing Li

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Delay Systems ◽

Control Problems ◽

Impulse Controls

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A Maximum Principle for Hybrid Optimal Control Problems with Pathwise State Constraints

Proceedings of the 45th IEEE Conference on Decision and Control ◽

10.1109/cdc.2006.377241 ◽

2006 ◽

Cited By ~ 9

Author(s):

P. E. Caines ◽

F. H. Clarke ◽

X. Liu ◽

R. B. Vinter

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

State Constraints ◽

Optimal Control Problems ◽

Control Problems ◽

Hybrid Optimal Control

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The Maximum Principle for Optimal Control Problems with Time Delays

SIAM Journal on Control and Optimization ◽

10.1137/16m1085474 ◽

2017 ◽

Vol 55 (5) ◽

pp. 2905-2935 ◽

Cited By ~ 4

Author(s):

A. Boccia ◽

R. B. Vinter

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Time Delays ◽

Optimal Control Problems ◽

Control Problems ◽

The Maximum Principle

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Pontryagin Type Maximum Principle for budget-constrained infinite horizon optimal control problems with linear dynamics

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2017.08.002 ◽

2018 ◽

Vol 457 (2) ◽

pp. 1591-1612 ◽

Cited By ~ 2

Author(s):

Valeriya Lykina ◽

Sabine Pickenhain

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Linear Dynamics

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