Duality theorem for the stochastic optimal control problem

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:116

Article

Mikami, Toshio ; Thieullen, Michele

关键词: duality theorem;    stochastic control;    forward-backward stochastic differential equation;   

DOI  :  10.1016/j.spa.2006.04.014

来源: Elsevier

【 摘 要 】

We prove a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer satisfies a class of forward-backward stochastic differential equations. As an application, we give an approach, from the duality theorem, to h-path processes for diffusion processes. (c) 2006 Elsevier B.V. All rights reserved.

【 授权许可】

Free