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Stochastic maximum principle for optimal control problem with a stopping time cost functional
International Journal of Control ( IF 2.1 ) Pub Date : 2021-01-11 Shuzhen Yang
中文翻译:
带有停车时间成本函数的最优控制问题的随机最大原理
更新日期:2021-01-12
International Journal of Control ( IF 2.1 ) Pub Date : 2021-01-11 Shuzhen Yang
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this kind of optimal control problem by introducing a discrete terminal system. Finally, we provide an example to describe the main results of this study.
中文翻译:
带有停车时间成本函数的最优控制问题的随机最大原理
在这项研究中,我们考虑由具有停止时间终端成本功能的随机差分系统驱动的最优控制问题。通过引入离散终端系统,我们为这种最优控制问题建立了随机最大原理。最后,我们提供一个例子来描述这项研究的主要结果。