Encyclopedia of Systems and Control

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| Editors: John Baillieul, Tariq Samad

Stochastic Maximum Principle

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DOI: https://doi.org/10.1007/978-1-4471-5102-9_229-2

Abstract

The stochastic maximum principle (SMP) gives some necessary conditions for optimality for a stochastic optimal control problem. We give a summary of well-known results concerning stochastic maximum principle in finite-dimensional state space as well as some recent developments in infinite-dimensional state space.

Keywords

Stochastic optimal control Necessary condition Stochastic maximum principle 
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Copyright information

© Springer-Verlag London Ltd., part of Springer Nature 2020

Authors and Affiliations

  1. 1.CNRS, IRMAR – UMR6625Université RennesRennesFrance

Section editors and affiliations

  • Lei Guo
    • 1
  1. 1.Academy of Mathematics and Systems Science, Chinese Academy of Sciences (CAS)BeijingChina