Optimality conditions of controlled backward doubly stochastic differential equations

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DC Field	Value	Language
dc.contributor.author	Seid Bahlali	-
dc.contributor.author	Boulakhras Gherbal	-
dc.date.accessioned	2014-04-11T16:10:44Z	-
dc.date.available	2014-04-11T16:10:44Z	-
dc.date.issued	2014-04-11	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2279	-
dc.description.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 http://www.degruyter.com/view/j/rose.2010.18.issue-3/rose.2010.014/rose.2010.014.xml?format=INT	en_US
dc.subject	Backward doubly stochastic differential equations; stochastic maximum principle; optimal control; adjoint equation; variational inequality; optimization principle	en_US
dc.title	Optimality conditions of controlled backward doubly stochastic differential equations	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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