Existence and optimality conditions in stochastic control of linear BSDEs

被引:6
|
作者
Bahlali, Khaled [1 ]
Gherbal, Boulakhrass [2 ]
Mezerdi, Brahim [2 ]
机构
[1] USTV, UFR Sci, IMATH, BP 20132, F-83957 La Garde, France
[2] Univ Med Khider, Lab Appl Math, Biskra 07000, Algeria
关键词
Backward stochastic differential equation; stochastic control; maximum principle;
D O I
10.1515/ROSE.2010.010
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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.
引用
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页码:185 / 197
页数:13
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