Existence of an optimal control for stochastic control systems with nonlinear cost functional

DOI10.1080/17442501003624415zbMath1200.93137arXiv0902.2693OpenAlexW2047335071MaRDI QIDQ3585332

Boubakeur Labed, Unnamed Author, Rainer Buckdahn, Catherine Rainer

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.2693

zbMATH Keywords

optimal controlbackward stochastic differential equationsstochastic control systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control problems involving ordinary differential equations (34H05) Stochastic systems in control theory (general) (93E03)

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• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Compactification methods in the control of degenerate diffusions: existence of an optimal control

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