A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
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Publication:1689689
DOI10.1007/s13370-015-0351-6zbMath1386.93312OpenAlexW812938447MaRDI QIDQ1689689
Publication date: 17 January 2018
Published in: Afrika Matematika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13370-015-0351-6
optimal controlnecessary optimality conditionsstochastic maximum principlepartial informationsingular controlMalliavin derivativeadjoint process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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