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Title: Optimality conditions of controlled backward doubly stochastic differential equations
Authors: Seid Bahlali
Boulakhras Gherbal
Keywords: Backward doubly stochastic differential equations; stochastic maximum principle; optimal control; adjoint equation; variational inequality; optimization principle
Issue Date: 11-Apr-2014
Abstract: In this paper, we introduce and study the optimality conditions for stochastic control problems of nonlinear backward doubly stochastic differential equations. Necessary and sufficient optimality conditions, where the control domain is convex and the coefficients depend explicitly on the variable control, are proved. The results are stated in the form of weak stochastic maximum principle, and under additional hypotheses, we give these results in the global form. This is the first version of the stochastic maximum principle that covers the backward-doubly systems. Link
Appears in Collections:Publications Internationales

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