Duality theorem for the stochastic optimal control problem

Stochastic Processes and their Applications

Volumn 116, Issue 12, 2006, Pages 1815-1835

  Mikami, Toshio ^a   Thieullen, Michèle ^b  

^a HOKKAIDO UNIVERSITY   (Japan)

^b SORBONNE UNIVERSITÉ   (France)

Author keywords

Duality theorem; Forward backward stochastic differential equation; Stochastic control

Indexed keywords

DIFFERENTIAL EQUATIONS; DIFFUSION; OPTIMIZATION; STOCHASTIC CONTROL SYSTEMS; THEOREM PROVING;

CONVEX COST FUNCTION; DUALITY THEOREM; FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATION;

OPTIMAL CONTROL SYSTEMS;

EID: 33750824309     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2006.04.014     Document Type: Article

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