The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
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Publication:2444215
DOI10.1155/2014/201491zbMath1297.49039OpenAlexW1966445264WikidataQ59046936 ScholiaQ59046936MaRDI QIDQ2444215
Brahim Mezerdi, Farid Chighoub
Publication date: 9 April 2014
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/201491
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimality conditions for problems involving randomness (49K45)
Related Items
A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus, The relaxed stochastic maximum principle in singular optimal control of jump diffusions, Stochastic recursive optimal control problem with time delay and applications
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