Article2014

A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise

64 citations0/0 files storedIEEE Transactions on Automatic Control

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Advanced Control Systems Optimization Adaptive Dynamic Programming Control

Abstract

The maximum principle (MP) for the discrete-time stochastic optimal control problems is proved. It is shown that the adjoint equations of the MP are a pair of backward stochastic difference equations.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 64 citations exist upstream.

References

1928A Mathematical Theory of Saving 1999Stochastic controls : Hamiltonian systems and HJB equations 1990A General Stochastic Maximum Principle for Optimal Control Problems 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control 1978An Introductory Approach to Duality in Optimal Stochastic Control 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems 2013A general maximum principle for optimal control of forward–backward stochastic systems 2010A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications

Cited by

2021Maximum principle for discrete-time stochastic optimal control problem and stochastic game 2022Maximum principle for discrete-time stochastic control problem of mean-field type

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.