Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control
研究了一类多维线性凸随机控制问题，目标函数不可微且带有控制约束和随机系数，通过构造对偶问题并证明对偶随机最大值原理，展示了该方法的实用性。
Abstract In this paper, we discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control constraints, and random coefficients. We formulate an equivalent dual problem, prove the dual stochastic maximum principle and the relation of the optimal control, optimal state, and adjoint processes between primal and dual problems, and illustrate the usefulness of the dual approach with some examples.