Article
Licensed
Unlicensed
Requires Authentication
Existence and optimality conditions in stochastic control of linear BSDEs
-
Khaled Bahlali
Published/Copyright:
September 9, 2010
Abstract
We consider control problems for systems driven by linear backward stochastic differential equations (BSDEs). We prove the existence of strict optimal controls under the convexity of the control domain as well as the cost functional. Our approach is based on strong convergence techniques for the associated linear BSDEs. Moreover, we establish necessary as well as sufficient conditions of optimality, satisfied by an optimal strict control. The proof of this result is based on the convex optimization principle.
Received: 2009-10-12
Accepted: 2010-02-04
Published Online: 2010-09-09
Published in Print: 2010-September
© de Gruyter 2010
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- Existence and optimality conditions in stochastic control of linear BSDEs
- On random equations and applications to random fixed point theorems
- Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet
- Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
- Optimality conditions of controlled backward doubly stochastic differential equations
- Existence and uniqueness of solutions of stochastic functional differential equations
Keywords for this article
Backward stochastic differential equation;
stochastic control;
maximum principle
Articles in the same Issue
- Existence and optimality conditions in stochastic control of linear BSDEs
- On random equations and applications to random fixed point theorems
- Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet
- Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
- Optimality conditions of controlled backward doubly stochastic differential equations
- Existence and uniqueness of solutions of stochastic functional differential equations
