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

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dc.creatorBahlali, Seid
dc.date2008-01-30
dc.date2008-07-23
dc.date.accessioned2026-07-07T09:51:57Z
dc.date.available2026-07-07T09:51:57Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0801.4666
dc.identifierhttp://arxiv.org/abs/0801.4666
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/165426
dc.subjectProbability
dc.subjectOptimization and Control
dc.titleStochastic maximum principle for optimal control problem of backward systems with terminal condition in L1
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