A General Stochastic Maximum Principle for Optimal Control Problems 论文
1990SIAM Journal on Control and Optimization引用 799
Stochastic processes and financial applicationsRisk and Portfolio OptimizationOptimization and Variational Analysis
摘要
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.