Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L1

2008/01/30 by Bahlali, Seid
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.0801.4666

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.

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