AbstractIn this paper, we are concerned with an optimal control problem where the
system is driven by a backward doubly stochastic differential equation with risk-sensitive performance functional. We generalized the result of Chala [A. Chala,
Pontryagin’s risk-sensitive stochastic maximum principle for backward stochastic differential equations with application,
Bull. Braz. Math. Soc. (N. S.) 48 2017, 3, 399–411] to a backward doubly stochastic differential equation by using the same contribution of Djehiche, Tembine and Tempone in [B. Djehiche, H. Tembine and R. Tempone,
A stochastic maximum principle for risk-sensitive mean-field type control,
IEEE Trans. Automat. Control 60 2015, 10, 2640–2649]. We use the risk-neutral model for which an optimal solution exists as a preliminary step. This is an extension of an initial control system in this type of problem, where an admissible controls set is convex. We establish necessary as well as
sufficient optimality conditions for the risk-sensitive performance functional control problem. We illustrate the paper by giving two different examples for a linear quadratic system, and a numerical application as second example.
Assessing non-convex value functions for the optimal control of stochastic differential equations
