Generalization of Pontryagin Maximum Principle with Stochastic Initial Conditions

Abstract

Based on Pontryagin Maximum Principle (PMP), this paper established a generalized PMP aiming at non-feedback control system with stochastic initial conditions. We proved the conclusion and show its coming back to PMP when the randomness collapses. Through the generalized PMP, a general method is introduced to solve expectation maximum problem of these systems and thereafter an example showed its feasibility.