Stochastic maximum principle for optimal control with multiple priors

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Stochastic maximum principle for optimal control with multiple priors

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作者：Yuhong Xu
关键词：Stochastic maximum principle ; Multiple priors ; GG-expectation ; GG-Brownian motion
刊名：Systems and Control Letters
出版年：February, 2014
年：2014
卷：64
期：Complete
页码：114-118
全文大小：372 K

文摘

The necessary condition is derived for optimal control with multiple priors which are mutually singular. The tool we use is the theory of -expectation.