Optimal trajectories of deterministic systems satisfy Pontryagin’s maximum principle and can be computed efficiently. Related results for stochastic systems exist but they lack the simplicity and computational efficiency of the deterministic case. Here we show that a certain class of both discrete-time and continuous-time nonlinear stochastic control problems obey a classic maximum principle, i...

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form of stochastic maximum principle. AMS Subject Classification. 93Exx

Economists were interested in economic stabilization policies as early as the 1930’s but the formal applications of stability theory from the classical control theory to economic analysis appeared in the early 1950’s when a number of control engineers actively collaborated with economists on economic stability and feedback mechanisms. The theory of optimal control resulting from the contributio...

In this paper LQG control over unreliable communication links is derived. That to say, the channels between controller and actuators sensors are unreliable. This of growing importance as networked systems use wireless in becoming increasingly common. The problem how optimize case examined situation where components done with acknowledgments. Previous solutions finite horizon discrete time hold-...