Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems

DOI10.1137/070681053zbMATH Open1167.49024arXiv0807.4297OpenAlexW2027736470MaRDI QIDQ5320751FDOQ5320751

Seïd Bahlali

Publication date: 22 July 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we establish necessary as well as sufficient conditions of optimality for two models. The first concerns the relaxed controls, who are measure-valued processes. The second is a particular case of the first and relates to strict control problems.

Full work available at URL: https://arxiv.org/abs/0807.4297

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zbMATH Keywords

stochastic differential equationmaximum principlevariational inequalityrelaxed controladjoint processstrict control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

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