Optimality necessary conditions in singular stochastic control problems with nonsmooth data

DOI10.1016/j.jmaa.2009.01.066zbMath1163.49023OpenAlexW2082245808MaRDI QIDQ1022953

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

maximum principlestochastic differential equationstochastic controlvariational principlesingular controladjoint processdistributional derivative

Mathematics Subject Classification ID

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

Related Items (10)

The stochastic maximum principle in singular optimal control with recursive utilities ⋮ A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus ⋮ 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 ⋮ The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions ⋮ 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^† ⋮ Irreversible capital accumulation with economic impact ⋮ Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls

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