On Optimal Control Problem for Backward Stochastic Doubly Systems

Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form of stochastic maximum principle. AMS Subject Classification. 93Exx

The strict and relaxed stochastic maximum principle for optimal control problem of backward systems

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of optimality for two models. The first concerns the strict (classical) controls. The second is an extension of the first to relaxed controls, who are a measure va...

Necessary Conditions for Backward Doubly Stochastic Control System

We consider the necessary conditions for backward doubly stochastic control system, via the second-order Taylor expansion we have obtained. All the results are got under no restriction on the convexity of control domain and the diffusion coefficient does not contain the control variable.

Optimal Control for Descriptor Systems: Tracking Problem (RESEARCH NOTE)

Singular systems have been studied extensively during the last two decades due Abstract to their many practical applications. Such systems possess numerous properties not shared by the well-known state variable systems. This paper considers the linear tracking problem for the continuous-time singular systems. The Hamilton-Jacobi theory is used in order to compute the optimal control and associa...

On Solving Backward Doubly Stochastic Differential Equations