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arXiv · 1710.11302

Stochastic Linear Quadratic Optimal Control with General Control Domain

Shaolin Ji·Xiaole Xue
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Abstract

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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Shaolin Ji, Xiaole Xue. 2017-10-31. Stochastic Linear Quadratic Optimal Control with General Control Domain. https://arxiv.org/abs/1710.11302

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