Maximum Principle for Forward-Backward Control System Driven by Itô-Lévy Processes under Initial-Terminal Constraints
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DOI: 10.1155/2017/1868560
Abstract: This paper investigates a stochastic optimal control problem where the control system is driven by Ito-Levy process. We prove the necessary condition about existence of optimal control for stochastic system by using traditional variational technique… read more here.
Keywords: system; system driven; control; initial terminal ... See more keywords