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

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

2008-01-30

arxiv.org/abs/0801.4666v2

Mathematics

Probability

Scientific paper

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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