摘要
Necessary conditions are proved for certain problems of optimal control of diffusions where hard end constraints occur. The main results apply to several dimensional problems, where some of the state equations involve Brownian motions, but not the equations corresponding to states being hard restricted at the terminal time. The necessary conditions are stated in terms of weak variations. Two versions of necessary conditions are given, one version involving solutions of variational equations, the other one involving first order adjoint equations.
Necessary conditions are proved for certain problems of optimal control of diffusions where hard end constraints occur. The main results apply to several dimensional problems, where some of the state equations involve Brownian motions, but not the equations corresponding to states being hard restricted at the terminal time. The necessary conditions are stated in terms of weak variations. Two versions of necessary conditions are given, one version involving solutions of variational equations, the other one involving first order adjoint equations.
