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

stochastic differential equationmaximum principlestochastic controlvariational principleadjoint processsingular controldistributional derivative

Mathematics Subject Classification ID

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

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Cited in

(16)

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

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