Abstract
AbstractIn this paper, we discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control constraints, and random coefficients. We formulate an equivalent dual problem, prove the dual stochastic maximum principle and the relation of the optimal control, optimal state, and adjoint processes between primal and dual problems, and illustrate the usefulness of the dual approach with some examples.
Funder
Engineering and Physical Sciences Research Council
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
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