Stochastic maximum principle for optimal control problem with a stopping time cost functional

Abstract

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by introducing a discrete terminal system. Finally, we provide an example to describe the main results of this study.

arXiv comment19. arXiv admin note: text overlap with arXiv:1610.05843