A General Stochastic Maximum Principle for Optimal Control Problems

1990-05-01articleSIAM Journal on Control and Optimization800 citationsclosed

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

Abstract

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.

Citations in this library

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Cited by

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