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. To solve the optimal control problem under the stopping time terminal cost functional, we introduce a multi-time state optimal control systems, and prove that the multi-time state optimal control systems is a near-optimal control problem. We use the near-optimal control problem to take place the original optimal control problem under the cost functional with a stopping time terminal. Then, we establish the stochastic maximum principle for this kind of optimal control problem by introducing a discrete terminal system. Finally, we provide an example to describe the main results of this study.