Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems

Details Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems

2008-07-27

arxiv.org/abs/0807.4297v4

Mathematics

Optimization and Control

Scientific paper

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we establish necessary as well as sufficient conditions of optimality for two models. The first concerns the relaxed controls, who are measure-valued processes. The second is a particular case of the first and relates to strict control problems.

Affiliated with

Also associated with

No associations

Rating

Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-144776