Duality theorem for the stochastic optimal control problem

DOI10.1016/j.spa.2006.04.014zbMath1118.93056OpenAlexW2056546413MaRDI QIDQ860701

Toshio Mikami, Michèle Thieullen

Publication date: 9 January 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2115/69459

zbMATH Keywords

stochastic controlduality theoremforward--backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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