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Chapitre D'ouvrage Année : 2015

Stochastic Maximum Principle

Résumé

The stochastic maximum principle (SMP) gives some necessary conditions for optimality for a stochastic optimal control problem. We give a summary of well-known results concerning stochastic maximum principle in finite-dimensional state space as well as some recent developments in infinite-dimensional state space.
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Dates et versions

hal-01105071 , version 1 (19-01-2015)

Identifiants

Citer

Ying Hu. Stochastic Maximum Principle. John Baillieul, Tariq Samad. Encyclopedia of Systems and Control, XXIV, Springer, pp.1347-1350, 2015, 978-1-4471-5057-2. ⟨10.1007/978-1-4471-5102-9_229-1⟩. ⟨hal-01105071⟩
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