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

Yang, SZ

Yang, SZ (corresponding author), Shandong Univ, Zhong Tai Secur Inst Financial Studies, Jinan, Shandong, Peoples R China.

INTERNATIONAL JOURNAL OF CONTROL, ; ():

Abstract

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. To sol......

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