Stochastic maximum principle: a minimizing sequence approach
作者:
N.G. Medhin,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1998)
卷期:
Volume 16,
issue 1
页码: 107-118
ISSN:0736-2994
年代: 1998
DOI:10.1080/07362999808809520
出版商: Marcel Dekker, Inc.
关键词: Minimizing Sequence;Ekeland's Variational Principle;Separation Theorem
数据来源: Taylor
摘要:
In this paper we obtain maximum principle for a stochastic control problem with restrictions. We employ a minimizing sequence approach due to Sumin [1] which uses Ekeland's variational principle [2] to establish a separation theorem that is the basis of the maximum principle. If the inflmum of the cost is not attained it is shown that corresponding to any minimizing sequence there is a sequence of an accompanying set of optimality conditions
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