Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11021728 | Journal of Mathematical Analysis and Applications | 2019 | 18 Pages |
Abstract
Stochastic linear quadratic optimal control problems are considered. A unified approach is proposed to treat the necessary optimality conditions of closed-loop optimal strategies and open-loop optimal controls. Notice that the former notion does not rely on initial wealth, while the later one does. Our conclusions of closed-loop optimal strategies are directly derived by suitable variational methods, the approach to which is different from [12], [11]. Moreover, the necessary conditions for closed-loop optimal strategies happen to be sufficient which takes us by surprise. Finally, two applications are given as illustration.
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Physical Sciences and Engineering
Mathematics
Analysis
Authors
Tianxiao Wang,