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.
| Original language | English |
|---|---|
| Pages (from-to) | 185-197 |
| Number of pages | 13 |
| Journal | Random Operators and Stochastic Equations |
| Volume | 18 |
| Issue number | 3 |
| DOIs | |
| State | Published - Sep 2010 |
| Externally published | Yes |
Keywords
- Backward stochastic differential equation
- Maximum principle
- Stochastic control
ASJC Scopus subject areas
- Analysis
- Statistics and Probability
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