Optimal Control of Diffusion Processes with Terminal Constraint in Law
Optimization and Control
2022-03-10 v2
Abstract
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation are proved using convex duality techniques.
Cite
@article{arxiv.2012.10707,
title = {Optimal Control of Diffusion Processes with Terminal Constraint in Law},
author = {Samuel Daudin},
journal= {arXiv preprint arXiv:2012.10707},
year = {2022}
}