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arXiv · 0801.4666

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

Seid Bahlali
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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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Seid Bahlali. 2008-07-23. Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L1. https://arxiv.org/abs/0801.4666

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