Duality theorem for the stochastic optimal control problem

[摘要] 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. (c) 2006 Elsevier B.V. All rights reserved.

[发布日期] 2006-12-01

[关键词] duality theorem;stochastic control;forward-backward stochastic differential equation