Duality theorem for the stochastic optimal control problem

Toshio Mikami and Michèle Thieullen

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 1815-1835

Abstract: We prove a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer satisfies 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.

Keywords: Duality; theorem; Stochastic; control; Forward-backward; stochastic; differential; equation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (7)

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