Optimality necessary conditions in singular stochastic control problems with nonsmooth data

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

Boualem Djehiche, Farid Chighoub, Khaled Bahlali, Brahim Mezerdi

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 principle; stochastic differential equation; stochastic control; variational principle; singular control; adjoint process; distributional derivative

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

49K15: Optimality conditions for problems involving ordinary differential equations