Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems

@inproceedings{Bahlali2008NecessaryAS,
  title={Necessary and sufficient optimality conditions for relaxed and strict control problems of backward systems},
  author={Seid Bahlali},
  year={2008}
}
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we establish necessary as well as sufficient conditions of optimality for two models. The first concerns the relaxed controls, who are measure-valued processes. The second is a particular case of the first and relates to strict control problems. 

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