Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L1
Probability
2008-07-23 v2 Optimization and Control
Abstract
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form of stochastic maximum principle.
Keywords
Cite
@article{arxiv.0801.4666,
title = {Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L1},
author = {Seid Bahlali},
journal= {arXiv preprint arXiv:0801.4666},
year = {2008}
}