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arXiv · 1609.04188

The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional

Shuzhen Yang
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Abstract

From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the stochastic maximum principle and sufficient optimality conditions for this new optimal control problem. A constraints problem also be studied. In the end, we develop a near optimal control problem for a general cost functional.

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Shuzhen Yang. 2016-09-14. The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional. https://arxiv.org/abs/1609.04188

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