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Stochastic maximum principle for optimal control problem of forward and backward system

Published online by Cambridge University Press:  17 February 2009

Wensheng Xu
Wensheng Xu
Affiliation:
Department of Mathematics, Zhejiang University, Hongzhou 310027, China
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Abstract

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The maximum principle for optimal control problems of stochastic systems consisting of forward and backward state variables is proved, under the assumption that the diffusion coefficient does not contain the control variable, but the control domain need not be convex.

Type
Research Article
Information
The ANZIAM Journal , Volume 37 , Issue 2 , October 1995 , pp. 172 - 185
Copyright
Copyright © Australian Mathematical Society 1995

References

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