Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems

Seid Bahlali

Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems

Optimization and Control 2008-12-20 v4 Probability

Authors: Seid Bahlali

Abstract

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we establish necessary as well as sufficient conditions of optimality for two models. The first concerns the relaxed controls, who are measure-valued processes. The second is a particular case of the first and relates to strict control problems.

Keywords

stochastic control backward stochastic differential equation relaxed control strict control optimality conditions necessary and sufficient conditions

Cite

@article{arxiv.0807.4297,
  title  = {Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems},
  author = {Seid Bahlali},
  journal= {arXiv preprint arXiv:0807.4297},
  year   = {2008}
}