The second order minimum principle and adjoint process
Authors:
- 1 January 1994
- journal article
- research article
- Published by Taylor & Francis in Stochastics and Stochastic Reports
- Vol. 46 (1-2) , 25-39
Abstract
When the control parameter appears in both the drift and diffusion coefficients, Peng has derived a “second order” minimum principle in terms of an adjoint process . Peng has also characterized this process as the unique, adapted solution of a reverse time stochastic differential equation. Using stochastic flows this paper gives an explicit expression for .Keywords
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