Stochastic Linear Quadratic Optimal Control with General Control Domain
classification
🧮 math.OC
keywords
controldomainlinearmaximumoptimalprinciplequadraticstochastic
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This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of the proposed maximum principle is illustrated through a work-out example.
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