Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint | Zendy

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Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint

Author(s) -

Feng Zhang

Publication year - 2013

Publication title -

journal of applied mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.307

H-Index - 43

eISSN - 1687-0042

pISSN - 1110-757X

DOI - 10.1155/2013/964765

Subject(s) - maximum principle , mathematics , constraint (computer aided design) , stochastic control , optimal control , state (computer science) , domain (mathematical analysis) , regular polygon , control variable , quadratic equation , state variable , control (management) , mathematical optimization , control theory (sociology) , computer science , mathematical analysis , algorithm , statistics , physics , geometry , artificial intelligence , thermodynamics

This paper is concerned with one kind of delayed stochastic linear-quadratic optimal control problems with state constraints. The control domain is not necessarily convex and the control variable does not enter the diffusion coefficient. Necessary conditions in the form of maximum principle as well as sufficient conditions are established

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