Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs

DOI10.1515/156939706778239846zbMath1113.93105OpenAlexW2000195285MaRDI QIDQ3440803

Seid Bahlali, Boubakeur Labed

Publication date: 29 May 2007

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939706778239846

zbMATH Keywords

optimal controlmaximum principlevariational equationadjoint equationforward-backward stochastic differential equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (4)

Necessary condition for optimality of forward-backward doubly system ⋮ Stochastic controls of backward systems ⋮ Optimality conditions of controlled backward doubly stochastic differential equations ⋮ Infinite horizon optimal control of forward-backward stochastic differential equations with delay

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