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
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
Journal title :
Stochastic Processes and their Applications