Optimal Control of Diffusion Processes with Terminal Constraint in Law

Published 19 Dec 2020 in math.OC | (2012.10707v2)

Abstract: Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation are proved using convex duality techniques.

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Authors (1)

Samuel Daudin

Citations (10)

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