Duality Theorem for Stochastic Optimal Control Problem


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Please use this identifier to cite or link to this item:https://doi.org/10.14943/83805

Title:	Duality Theorem for Stochastic Optimal Control Problem
Authors:	Mikami, Toshio Browse this author
Authors:	Thieullen, Mich¥`ele Browse this author
Issue Date:	2004
Publisher:	Department of Mathematics, Hokkaido University
Journal Title:	Hokkaido University Preprint Series in Mathematics
Volume:	652
Start Page:	1
End Page:	28
Abstract:	We give a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer can be characterized by 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.
Type:	bulletin (article)
URI:	http://hdl.handle.net/2115/69459
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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