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

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

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...

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Main Author: Feng Zhang
Format: Article
Language:English
Published: Hindawi Limited 2013-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2013/964765
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spelling doaj-81e91030ffb246eaae792525023826fa2020-11-25T00:02:14ZengHindawi LimitedJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/964765964765Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State ConstraintFeng Zhang0School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250014, ChinaThis 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.http://dx.doi.org/10.1155/2013/964765
collection DOAJ
language English
format Article
sources DOAJ
author Feng Zhang
spellingShingle Feng Zhang
Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint
Journal of Applied Mathematics
author_facet Feng Zhang
author_sort Feng Zhang
title Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint
title_short Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint
title_full Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint
title_fullStr Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint
title_full_unstemmed Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint
title_sort maximum principle for delayed stochastic linear-quadratic control problem with state constraint
publisher Hindawi Limited
series Journal of Applied Mathematics
issn 1110-757X
1687-0042
publishDate 2013-01-01
description 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.
url http://dx.doi.org/10.1155/2013/964765
work_keys_str_mv AT fengzhang maximumprinciplefordelayedstochasticlinearquadraticcontrolproblemwithstateconstraint
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