Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L
نویسنده
چکیده
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. AMS Subject Classification. 93Exx
منابع مشابه
Stochastic maximum principle for optimal control problem of backward system with terminal condition in L
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. AMS Subject Classification. 93Exx
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