Necessary and Sufficient Condition for Optimality of a Backward Non-Markovian System

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DC Field	Value	Language
dc.contributor.author	A. Chala	-
dc.date.accessioned	2014-04-18T11:57:49Z	-
dc.date.available	2014-04-18T11:57:49Z	-
dc.date.issued	2014-04-18	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2354	-
dc.description.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 http://www.jnmas.org/CurrentIssue.html	en_US
dc.language.iso	en	en_US
dc.subject	Backward Stochastic Differential Equations, Maximum Principle, Adjoint Equation, Variational Inequalities, Path Dependence.	en_US
dc.title	Necessary and Sufficient Condition for Optimality of a Backward Non-Markovian System	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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