A kind of stochastic optimization problem solved by the BSDE method

MaRDI QIDQ2774102zbMATH OpenFDO

Authors Jin-yan Hu, Shaolin Ji

Publication date 4 March 2004

Published in Journal of Shandong University. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

backward stochastic equationEkeland variational principlestochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Review text

A kind of stochastic optimization problem related to a backward stochastic equation (BSDE) \[ -dx_t= f(x_t,z_t,t) dt-z_tdW_t,\;x_T= \xi\;(t \in[0,T]) \] is considered here, where the optimal objective \(\xi^*\) means that the functional \(J(\xi^*)\) reaches its maximum with respect to any other permissible objective [for the problem and the related notations, cf. \textit{E. Pardoux} and \textit{S. Peng}, Syst. Control Lett. 14, 55-61 (1990; Zbl 0692.93064)]. First, the authors introduce a variational method for the end condition of the BSDE. Then, without the assumption of convex properties about the coefficient of the equation, as usually used by others, a necessary condition (or Maximum Principle) for the optimal objective is obtained using the Ekeland variational principle.

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