On Optimal Control Problem for Backward Stochastic Doubly Systems | Zendy

Adel Chala | Zendy

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On Optimal Control Problem for Backward Stochastic Doubly Systems

Author(s) -

Adel Chala

Publication year - 2014

Publication title -

isrn applied mathematics

Language(s) - English

Resource type - Journals

eISSN - 2090-5572

pISSN - 2090-5564

DOI - 10.1155/2014/903912

Subject(s) - stochastic differential equation , mathematics , optimal control , maximum principle , generator (circuit theory) , set (abstract data type) , regular polygon , stochastic control , state (computer science) , control (management) , differential equation , mathematical optimization , mathematical analysis , control theory (sociology) , computer science , power (physics) , physics , geometry , algorithm , quantum mechanics , artificial intelligence , programming language

We are going to study an approach of optimal control problems where the state equation is a backward doubly stochastic differential equation, and the set of strict (classical) controls need not be convex and the diffusion coefficient and the generator coefficient depend on the terms control. The main result is necessary conditions as well as a sufficient condition for optimality in the form of a relaxed maximum principle.

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