Dept. Math, Hokkaido Univ. EPrints Server

Duality Theorem for Stochastic Optimal Control Problem

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

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Abstract

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.

Item Type:Preprint
Uncontrolled Keywords:duality theorem, stochastic control, forward-backward stochastic differential equation
Subjects:60-xx PROBABILITY THEORY AND STOCHASTIC PROCESSES
ID Code:201