Stochastic maximum principle for optimal control problem with a stopping time cost functional

نویسندگان

چکیده

In this study, we consider an optimal control problem driven by a stochastic differential system with stopping time terminal cost functional. To solve the under functional, introduce multi-time state systems, and prove that systems is near-optimal problem. We use to take place original functional terminal. Then, establish maximum principle for kind of introducing discrete system. Finally, provide example describe main results study.

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ژورنال

عنوان ژورنال: International Journal of Control

سال: 2021

ISSN: ['0020-7179', '1366-5820']

DOI: https://doi.org/10.1080/00207179.2021.1872801