A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus |
scientific article |
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A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (English)
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17 January 2018
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singular control
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optimal control
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stochastic maximum principle
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Malliavin derivative
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partial information
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necessary optimality conditions
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adjoint process
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