Synopsis
(This research note gives a unified and self-contained derivation of a Pontyryagin-type maximum principle for the optimal control of a system governed by an Ito equation with controls in feedback form. As well as minimizing a given cost functional, certain equality and inequality constraints must be satisfied by the controller; this leads to the introduction of Lagrange multipliers. When the problem exhibits some complexity, the necessary conditions are shown to be sufficient. Several simple examples are treated to demonstrate the way in which the theoretical results can be applied.
This book includes exercises, which test the reader s comprehension of the material and which, in some cases, offer extensions to the theory. This makes the work accessible to researchers outside the field of mathematics.
Readership. Researchers and graduate students in optimization, probability theory, control engineering, mathematical economics, operations research and finance (portfolio selection and option pricing)
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A Stochastic Maximum Principle for Optimal Control of Diffusions
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Longman Scientific & Technical, Harlow, Essex, 1986
ISBN 10: 0582988934
ISBN 13: 9780582988934
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Stochastic Maximum Principle
Published by
Longman Publishing Group, 1986
ISBN 10: 0582988934
ISBN 13: 9780582988934
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Stochastic Maximum Principle
Published by
Pearson Education, Limited, 1986
ISBN 10: 0582988934
ISBN 13: 9780582988934
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