摘要
We formulate a Lagrange method for continuous-time stochastic optimization in an appropriate normed space by using a proper stochastic process as the Lagrange multiplier.The obtained optimality conditions are applied to different types of problems.Some examples selected from control theory and economic theory are studied to test and illustrate the potential applications of the method.
We formulate a Lagrange method for continuous-time stochastic optimization in an appropriate normed space by using a proper stochastic process as the Lagrange multiplier. The obtained optimality con- ditions are applied to different types of problems. Some examples selected from control theory and economic theory are studied to test and illustrate the potential applications of the method.
基金
supported by National Natural Science Foundation of China (Grant No.11001029)
the National Basic Research Program of China (973 Program) (Grant No. 2007CB814902)
the Science Fund for Creative Research Groups (Grant No. 11021161)
Key Laboratory of Random Complex Structures and Data Science (Grant No. 2008DP173182)
