Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L1

Abstract

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.

References in corpus (1)

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