Maximum Principle for Singular Stochastic Control Problems

DOI10.1137/040612403MaRDI QIDQ3427786zbMATH OpenOpenAlexFDO

Authors

Publication date 27 March 2007

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/0f12a58e484d02b75420185f20589bb78773df13

zbMATH Keywords

maximum principlenonlinear stochastic systemsoptimal controlsingular controltime change

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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(29)

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• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
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• The stochastic maximum principle for a singular control problem
• Sufficient stochastic maximum principle for discounted control problem
• Necessary conditions for optimal singular stochastic control problems
• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
• A second-order maximum principle for singular optimal stochastic controls
• Viscosity solutions approach to finite-horizon continuous-time Markov decision process
• Optimal strategies of regular-singular mean-field delayed stochastic differential games
• A general stochastic maximum principle for singular control problems
• Maximum principle for stochastic control in continuous time with hard end constraints
• The relaxed general maximum principle for singular optimal control of diffusions

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