Title of article
Duality theorem for the stochastic optimal control problem
Author/Authors
Mikami، نويسنده , , Toshio and Thieullen، نويسنده , , Michèle، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
21
From page
1815
To page
1835
Abstract
We prove a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer satisfies a class of forward–backward stochastic differential equations. As an application, we give an approach, from the duality theorem, to h -path processes for diffusion processes.
Keywords
Duality theorem , stochastic control , Forward–backward stochastic differential equation
Journal title
Stochastic Processes and their Applications
Serial Year
2006
Journal title
Stochastic Processes and their Applications
Record number
1577837
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