Stochastic Maximum Principle for Square-Integrable Optimal Control of Linear Stochastic Systems  

作　　者：Shanjian TANG Xueqi WANG 

机构地区：[1]Department of Finance and Control Sciences,School of Mathematical Sciences,Fudan University,Shanghai 200433,China [2]School of Mathematical Sciences,Fudan University,Shanghai 200433,China

出　　处：《Chinese Annals of Mathematics,Series B》2024年第5期661-676,共16页数学年刊（B辑英文版）

基　　金：supported by the National Natural Science Foundation of China(No.12031009)。

摘　　要：The authors give a stochastic maximum principle for square-integrable optimal control of linear stochastic systems.The control domain is not necessarily convex and the cost functional can have a quadratic growth.In particular,they give a stochastic maximum principle for the linear quadratic optimal control problem.

关 键 词：Stochastic maximum principle Optimal control Linear stochastic system Square integrability 

分 类 号：O211.6[理学—概率论与数理统计] O232[理学—数学]