A Short Review of Stochastic Global Maximum Principle

被引：0
|
作者：
Lou, Zhihui [1 ]
Cheng, Yanran [1 ]
机构：
[1] Yiwu Ind & Commercial Coll, Jinhua 322000, Zhejiang, Peoples R China
来源：
PROCEEDINGS OF THE 39TH CHINESE CONTROL CONFERENCE | 2020年
关键词：
Maximum principle; Variational equation; Adjoint equation; Backward stochastic differential equation; Recursive stochastic optimal control;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Stochastic global maximum principle is an important tool in solving stochastic optimal control problems. In this paper, we give a short review of the stochastic global maximum principle on the stochastic optimal control problems, recursive stochastic optimal control problems and the fully coupled case.
引用
收藏
页码：921 / 925
页数：5
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