57 citations · 70 across the 31 of their papers we have counts for
Showing 2016 · math.OCShow all
3 papers · 2 filters
math.OC2016
The Pontryagin's maximum principle for stochastic differential systems under state constraints
Shuzhen Yang
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about th…
math.OC2016
The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional
Shuzhen Yang
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a…
math.OC2016
On an Optimal Extraction Problem with Regime Switching
Giorgio Ferrari, Shuzhen Yang
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction prob…