Stochastic maximum principle for optimal control problem with a stopping time cost functional
classification
🧮 math.OC
keywords
controloptimalproblemstochasticcostfunctionalmaximumprinciple
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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.
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