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- W59388444 abstract "We give a duality theorem for the stochastic optimal control problem with a convex cost functionand show that the minimizer can be characterized by a class of forward-backward stochastic differential equations.As an application, we give an approach, from the duality theorem, to $h$-path processes for diffusion processes." @default.
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- W59388444 date "2006-01-01" @default.
- W59388444 modified "2023-10-17" @default.
- W59388444 title "Duality theorem for the stochastic optimal control problem" @default.
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