Qixia Zhang
Published 2020-10-18Version 1
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of x_{1}(t)x_{1}(t-\delta) term, we obtain a general maximum principle for the optimal control problems with a standard spike variational technique and duality method. The maximum principle is applied to study a delayed linear-quadratic optimal control problem with a non-convex control domain; an optimal solution is obtained.
Entropy bounds for invariant measure perturbations in stochastic systems with uncertain noise
A general Maximum Principle for stochastic control problem with random jumps
On Convex Data-Driven Inverse Optimal Control for Nonlinear, Non-stationary and Stochastic Systems
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