Optimal Control of Diffusion Processes with Terminal Constraint in Law

Samuel Daudin ()
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Samuel Daudin: PSL Research University, Université Paris-Dauphine

Journal of Optimization Theory and Applications, 2022, vol. 195, issue 1, No 1, 41 pages

Abstract: Abstract Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker–Planck equation and a backward Hamilton–Jacobi–Bellman equation are proved using convex duality techniques.

Keywords: Stochastic control; Constraints in law; Hamilton–Jacobi–Bellman equation; Fokker–Planck equation; Mean field games; Minmax; Convex duality (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10957-022-02053-8

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