The strict and relaxed stochastic maximum principle for optimal control problem of backward systems

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dc.creatorBahlali, Seid
dc.date2008-01-30
dc.date2008-12-20
dc.date.accessioned2026-07-07T12:20:35Z
dc.date.available2026-07-07T12:20:35Z
dc.descriptionWe consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of optimality for two models. The first concerns the strict (classical) controls. The second is an extension of the first to relaxed controls, who are a measure valued processes.
dc.identifierhttps://arxiv.org/abs/0801.4668
dc.identifierhttp://arxiv.org/abs/0801.4668
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/213106
dc.subjectProbability
dc.subjectOptimization and Control
dc.titleThe strict and relaxed stochastic maximum principle for optimal control problem of backward systems
dc.typetext

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