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Maximum Principle of Stochastic control problems And it's Application
ZHAO Zhongqi *
School of commerce,Huaihai Institute of Technology,Lian yun gang 222000
*Correspondence author
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Funding: none
Opened online:20 December 2012
Accepted by: none
Citation: ZHAO Zhongqi.Maximum Principle of Stochastic control problems And it's Application[OL]. [20 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4502147
 
 
A maximum principle of stochastic control is present for solving dynamic optimization problems involving stochastic differential equation .It is an alternative to dynamic programming. As a generalization of Pontryagin's maximum principle to stochastic control models in Economics and management it avoids having to solve the bellman equation for the value function. Its analytical convenience is illustrated by application to classic problems of investment decision and stochastic project with optimum storage and productivity.
Keywords:stochastic control; product project; investment decision; dynamic programming
 
 
 

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