The paper is concerned with optimal control of backward stochastic differentiM equation （BSDE） driven by Teugel＇s martingales and an independent multi-dimensional Brownian motion, where Teugel＇s martingales are a family of pairwise strongly orthonormal martingales associated with L6vy processes （see e.g., Nualart and Schoutens＇ paper in 2000）. We derive the necessary and sufficient conditions for the existence of the optimal control by means of convex variation methods and duality techniques. As an application, the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria （or backward linear-quadratic problem, or BLQ problem for short） is discussed and characterized by a stochastic Hamilton system.
TANG MaoNing 1 & ZHANG Qi 2,1 Department of Mathematical Sciences,Huzhou University,Huzhou 313000,China
An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.
This paper is devoted to investigating the asymptotic properties of the renormalized so- lution to the viscosity equation δtfε ＋ v · △↓xfε = Q（fε, fε） ＋ ε△vfε as ε →0＋. We deduce that the renormalized solution of the viscosity equation approaches to the one of the Boltzmann equation in L^1（（0, T） × RN × R^N）. The proof is based on compactness analysis and velocity averaging theory.
