Duality theorem for the stochastic optimal control problem |
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| Authors: | Toshio Mikami Michèle Thieullen |
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| Institution: | 1. Department of Mathematics, Hokkaido University, Sapporo 060-0810, Japan;2. Laboratoire de Probabilités et Modèles Aléatoires, Université de Paris VI, 75252 Paris, France |
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| Abstract: | We prove a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer satisfies a class of forward–backward stochastic differential equations. As an application, we give an approach, from the duality theorem, to h-path processes for diffusion processes. |
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| Keywords: | Duality theorem Stochastic control Forward&ndash backward stochastic differential equation |
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