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Can I read Duality Theorem for the Stochastic Optimal Control Problem on EtoBox?
Duality Theorem for the Stochastic Optimal Control Problem by Toshio Mikami; Michèle Thieullen is a Mathematics article available to read on EtoBox.
What is Duality Theorem for the Stochastic Optimal Control Problem about?
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.
Who reads Duality Theorem for the Stochastic Optimal Control Problem?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Toshio Mikami; Michèle Thieullen
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4149)
- Published
- 2006
- Language
- EN
- Field
- Mathematics (Physical Sciences)