Abstract
In this paper, the authors consider a stochastic control problem where the system is governed by a general backward stochastic differential equation. The control domain need not be convex, and the diffusion coefficient can contain a control variable. The authors obtain a stochastic maximum principle for the optimal control of this problem by virtue of the second-order duality method.
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This paper was recommended for publication by Editor YIN Gang George.
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Wu, S., Shu, L. A maximum principle for general backward stochastic differential equation. J Syst Sci Complex 29, 1505–1518 (2016). https://doi.org/10.1007/s11424-016-5209-y
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DOI: https://doi.org/10.1007/s11424-016-5209-y