Optimal control problem with a varying terminal time: Part I, stochastic maximum principle.

Keywords

Optimal control, Maximum principle, Stochastic control, Terminal (telecommunication), Separation principle

References

• Stochastic Controls: Hamiltonian Systems and HJB EquationsJiongmin Yong, Xun Yu Zhou — 1999
• General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite DimensionsQi Lü, Xu Zhang — 2012
• A general stochastic maximum principle for optimal control problems of forward-backward systemsSeïd Bahlali — 2008
• Maximum Principle for Quasi-linear Backward Stochastic Partial Differential EquationsJinniao Qiu, Shanjian Tang — 2011
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal ConditionsJiongmin Yong — 2010
• A general stochastic maximum principle for optimal control problemsShigē Péng — 1990
• A general maximum principle for optimal control of forward-backward stochastic systemsZhen Wu — 2013
• An Introductory Approach to Duality in Optimal Stochastic ControlJean‐Michel Bismut — 1978
• Controlled markov processes and viscosity solutionsM. R. James — 1994
• The necessary and sufficient conditions for stochastic differential systems with multi-time state cost functionalShuzhen Yang — 2016
• Stochastic global maximum principle for optimization with recursive utilitiesMingshang Hu — 2017
• Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility AmbiguityMingshang Hu, Shaolin Ji — 2015
• A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic SystemsMingshang Hu, Shaolin Ji, Xiaole Xue — 2018
• Statistics of random processesP. Révész, R. S. Liptser, A. N. Shiryayer — 1977
• Statistics of Random ProcessesM. Aschwanden — 2021
• Lectures on nonlinear filtering and stochastic controlS. Mitter — 1982

Cited by

• A varying terminal time mean-variance modelShuzhen Yang — 2019

Related papers

• The Pontryagin's maximum principle for stochastic differential systems under state constraintsShuzhen Yang — 2016
• A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraintJianhui Huang, Haiyang Wang, Zhen Wu — 2018
• The connection between discrete and continuous state constraints optimal control systems: the deterministic case.Shuzhen Yang — 2017
• “Necessary extremum conditions in the optimal control problem with state constraints”Dmitry Karamzin — 2007
• Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse ControlsZhen Wu, Feng Zhang — 2012
• Maximum principle for one kind of stochastic delay optimal control problem with state constraintFeng Zhang — 2015
• The Time Optimal Control with Constraints of the Rectangular Type for Linear Time-Varying ODEsCan Zhang — 2013