Duality Theorem for Stochastic Optimal Control Problem
Preprint Series # 652
Mikami, Toshio and Thieullen, Mich¥`ele Duality Theorem for Stochastic Optimal Control Problem. (2004);
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.