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Optimal Control of Diffusion Processes with Terminal Constraint in Law
Published 19 Dec 2020 in math.OC | (2012.10707v2)
Abstract: Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation are proved using convex duality techniques.
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