Optimality necessary conditions in singular stochastic control problems with nonsmooth data

DOI10.1016/J.JMAA.2009.01.066MaRDI QIDQ1022953zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Boualem Djehiche, Brahim Mezerdi, Farid Chighoub

Publication date 10 June 2009

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2009.01.066

zbMATH Keywords

adjoint processdistributional derivativemaximum principlesingular controlstochastic controlstochastic differential equationvariational principle

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(18)

• The stochastic maximum principle in singular optimal control with recursive utilities
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
• Irreversible capital accumulation with economic impact
• On necessary and sufficient conditions for near-optimal singular stochastic controls
• The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
• Filippov approach in stochastic maximum principle without differentiability assumptions
• Necessary conditions for optimality for a diffusion with a non-smooth drift
• The maximum principle for optimal control of diffusions with non-smooth coefficients
• scientific article; zbMATH DE number 1526953 (Why is no real title available?)
• An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
• Necessary conditions for optimal singular stochastic control problems
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
• Maximum principle for stochastic control of SDEs with measurable drifts
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Near optimality conditions in stochastic control of jump diffusion processes
• Stochastic optimal control for systems with drifts of bounded variation: a maximum principle approach

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