Principe du maximum de contrôle stochastique pour le système d’équations différentielles stochastique EDSs-EDSRs

Abstract

In this study, we examined the problem of optimal random control in the context of risk-sensitive performance, where the control domain is not necessarily convex. The system is defined by a stochastic differential equation and a backward stochastic differential equation. We identified the necessary and sufficient conditions for optimality of the random control principle.