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Necessary and sufficient optimality conditions for the relaxed control problem with risk-sensitive performance

Author(s)
Brahim Mansoul Laboratory of Applied Mathematics, University Mohamed Khider P.O. Box 145, Biskra 07000, Algeria
Abdelkarim Digheche Laboratory of Applied Mathematics, University Mohamed Khider P.O. Box 145, Biskra 07000, Algeria
Adel Chala Laboratory of Applied Mathematics, University Mohamed Khider P.O. Box 145, Biskra 07000, Algeria
Abstract
We consider a relaxed stochastic control problem with risk-sensitive performance functionals where the set of control domains is not necessary convex, and the system is governed by forward and backward stochastic diferential equations. More precisely, we establish necessary as well suficient conditions of optimality for the relaxed stochastic maximum the principle with risk-sensitive control problems, we illustrate our main results by giving an example of application in the meanvariance of cash flow.
Publication Details
Page(s) 1-1
DOI DOI not available
Published Journal: Journal of Applied Probability and Statistics, Volume: 18, Issue: 1, Year: 2023

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Keywords
and phrases, Variational inequality, Relaxed control, Risk sensitive performance, Forward Backward stochastic diferential equation, Stochastic Maximum principle
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