J Austral Math Soc Ser B 37 pp172--185, 1996.

Stochastic maximum principle for optimal control problem of forward and backward system

Wensheng Xu

(Received 19 July 1993; revised 28th March 1994)

Abstract

The maximum principle for optimal control problems of stochastic systems consisting of forward and backward state variables is proved, under the assumption that the diffusion coefficient does not contain the control variable, but the control domain need not be convex.

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Author

Wensheng Xu: Department of Mathematics, Zhejiang University, Hongzhou 310027, China.

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Last Modified: Mon Dec 10 13:19:33 2001