Optimal Control of Diffusion Processes with Terminal Constraint in Law

2020/12/19 by Samuel Daudin, Daudin, Samuel
Computer Science · Economics, Econometrics and Finance · Engineering · #Aerospace Engineering and Control Systems #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Variational Analysis #Stochastic processes and financial applications

paper · doi:10.48550/arxiv.2012.10707

openalex publication_date 2020/12/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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