Please use this identifier to cite or link to this item:
http://archives.univ-biskra.dz/handle/123456789/2354| 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 http://www.jnmas.org/CurrentIssue.html |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2354 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Necessary and Sufficient Condition for Optimality.pdf | 34,85 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.