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A stochastic maximum principle for linear quadratic problem with nonconvex control domain

  • * Corresponding author: Xiaole Xue

    * Corresponding author: Xiaole Xue
Research supported by NSF (Nos. 11571203, 11871458).
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  • This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of the proposed maximum principle is illustrated through a work-out example.

    Mathematics Subject Classification: Primary: 60H10, 93E20; Secondary: 49N15.

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