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Encyclopedia of Systems and Control pp 1–4Cite as

Stochastic Maximum Principle

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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.

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Author information

Authors and Affiliations

  1. CNRS, IRMAR – UMR6625, Université Rennes, Rennes, France

    Ying Hu

Authors
  1. Ying Hu
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Corresponding author

Correspondence to Ying Hu .

Editor information

Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, MA, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, MN, USA

    Tariq Samad

Section Editor information

  1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences (CAS), Beijing, China

    Lei Guo

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Hu, Y. (2020). Stochastic Maximum Principle. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_229-2

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

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  • Publisher Name: Springer, London

  • Print ISBN: 978-1-4471-5102-9

  • Online ISBN: 978-1-4471-5102-9

  • eBook Packages: Springer Reference EngineeringReference Module Computer Science and Engineering

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Chapter history

  1. Latest

    Stochastic Maximum Principle
    Published:
    06 November 2019

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

  2. Original

    Stochastic Maximum Principle
    Published:
    21 March 2014

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

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