Xueqi Wang

Stochastic Maximum Principle for Square-Integrable Optimal Control of Linearly Growing Stochastic Differential Systems Subject to a Quadratically Growing Cost Functional

Abstract. With Ekeland’s variational principle, we prove a general stochastic maximum principle (SMP) for square-integrable optimal control of linearly growing stochastic differential systems subject to a quadratically growing cost functional. The diffusion coefficient is allowed...