a INRIA-Saclay and CMAP, École Polytechnique, 91128 Palaiseau, France
b Dipartimento di Matematica Guido Castelnuovo, 00185 Rome, Italy
Abstract:
We consider a linear quadratic stochastic optimal control problem with non-negativity control constraints. The latter are penalized with the classical logarithmic barrier. Using a duality argument and the stochastic minimum principle, we provide error estimates for the central path which are the natural extensions of the well known estimates in the deterministic framework.