A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689)
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scientific article; zbMATH DE number 6826896
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| English | A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus |
scientific article; zbMATH DE number 6826896 |
Statements
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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0.861221194267273
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0.8495053052902222
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0.836871862411499
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0.8348333239555359
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0.8285602331161499
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