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Mathematics > Optimization and Control

arXiv:1812.03474 (math)
[Submitted on 9 Dec 2018]

Title:Stochastic maximum principle for optimal control problem with a stopping time cost functional

Authors:Shuzhen Yang
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Abstract: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 new kind of an optimal control problem by introducing a discrete terminal system. Finally, we provide an example to describe the main results of this study.
Comments: 19. arXiv admin note: text overlap with arXiv:1610.05843
Subjects: Optimization and Control (math.OC)
MSC classes: 93E03, 93E20, 60G99
Cite as: arXiv:1812.03474 [math.OC]
  (or arXiv:1812.03474v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.1812.03474

Submission history

From: Shuzhen Yang [view email]
[v1] Sun, 9 Dec 2018 12:50:14 UTC (12 KB)
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