全局随机最大值原理

A fundamental theorem in stochastic control theory that provides necessary optimality conditions for stochastic optimal control problems. It generalizes the classical Pontryagin's maximum principle to stochastic systems, often incorporating specific features such as regime-switching dynamics and time-varying delays. / 随机控制理论中的一个基本定理，为随机最优控制问题提供必要的最优性条件。它将经典的庞特里亚金最大值原理推广到随机系统，通常包含特定特征，如状态切换动力学和时变延迟。

Knowledge type

数学理论

First proposed or discovered

Proposer

Turkey Farm member

Creator

农场主

Last updated

2026-11-04 21:06:22