Necessary and sufficient condition for optimality of a backward non-Markovian system

zbMATH Open1360.93768MaRDI QIDQ2978466FDOQ2978466

Authors: Adel Chala 

Publication date: 25 April 2017

Full work available at URL: http://www.jnmas.org/jnmas5-1.pdf

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• scientific article; zbMATH DE number 1526953

zbMATH Keywords

maximum principleadjoint equationbackward stochastic differential equationsvariational inequalitiespath dependence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (4)

• Necessary and sufficient conditions of optimality for optimal control problems of forward and backward systems
• Necessary condition for optimality of forward-backward doubly system
• The general relaxed control problem of fully coupled forward-backward doubly system
• Stochastic controls of backward systems

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