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

Seid Bahlali

Published 2008-01-30, updated 2008-07-23Version 2

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.