Maxim um Principle of Stochastic Controlled Systems of Functional Type<sup>*</sup>
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Acta Mathematica Sinica, English Series  1991, Vol. 7 Issue (3): 193-204    DOI: 10.1007/BF02582996
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Maxim um Principle of Stochastic Controlled Systems of Functional Type*
Zhou Xunyu
Institute of Mathematics, Fudan University
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Abstract This paper studies the optimal controls of stochastic systems of functional type with end constraints. The systems considered may be degenerate and the control region may be nonconvex. A stochastic maximum principle is derived. The method is based on the idea that stochastic systems are essentially infinite dimensional systems.
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Zhou Xunyu
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Received: 1987-09-01;
Fund: * The Project Supported by National Natural Science Fundation of China
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Zhou Xunyu. Maxim um Principle of Stochastic Controlled Systems of Functional Type*[J]. Acta Mathematica Sinica, English Series, 1991, 7(3): 193-204.
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