Maximum principle for stochastic control of SDEs with measurable drifts

DOI10.1007/S10957-023-02209-0zbMath1518.49033arXiv2101.06205OpenAlexW3124120670MaRDI QIDQ6167091

Olivier Menoukeu Pamen, Ludovic Tangpi

Publication date: 7 July 2023

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first derive an explicit representation of the first variation process (in Sobolev sense ) of the controlled diffusion. Since the drift coefficient is not smooth, the representation is given in terms of the local time of the state process. Then we construct a sequence of optimal control problems with smooth coefficients by an approximation argument. Finally, we use Ekeland's variational principle to obtain an approximating adjoint process from which we derive the maximum principle by passing to the limit.

Full work available at URL: https://arxiv.org/abs/2101.06205

zbMATH Keywords

stochastic maximum principleEkeland's variational principlesingular driftsSobolev differentiable flow

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Variational principles in infinite-dimensional spaces (58E30) Diffusion processes (60J60) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)

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