Please use this identifier to cite or link to this item:
Title: Necessary and Sufficient Condition for Optimality of a Backward Non-Markovian System
Authors: A. Chala
Keywords: Backward Stochastic Differential Equations, Maximum Principle, Adjoint Equation, Variational Inequalities, Path Dependence.
Issue Date: 18-Apr-2014
Abstract: We consider a stochastic control problem in the case where the set of control domain is convex, the system is governed by a nonlinear backward stochastic differential equation with a non-Markovian system and constant terminal conditions. The paper reports on a derivation of a stochastic maximum principle for optimality with a minimized criterion in the general form, with initial costs. DOI: 10.1515/rose-2012-0012 Link
Appears in Collections:Publications Internationales

Files in This Item:
File Description SizeFormat 
Necessary and Sufficient Condition for Optimality.pdf34,85 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.