Simplified single-time stochastic maximum principle
نویسندگان
چکیده
Many microeconomic and engineering problems can be formulated as stochastic optimization problems that are modelled by Itô evolution systems and by cost functionals expressed as stochastic integrals. Our paper studies some optimization problems constrained by stochastic evolution systems, giving original results on stochastic first integrals, adjoint stochastic processes and a version of simplified single-time stochastic maximum principle. It extends to the stochastic case the work of first author regarding the geometrical methods in optimal control, constrained by normal ODEs. More precisely, our Lagrangians and Hamiltonians are stochastic 1-forms. Physical and economic applications of the general results are discussed. M.S.C. 2010: 93E20, 60H20.
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