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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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