A maximum principle for the stochastic variational inequalities

DOI10.1016/J.SPL.2016.04.022MaRDI QIDQ297162zbMATH OpenOpenAlexFDO

Authors Siyan Xu, Mengqi Zheng

Publication date 24 June 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.04.022

zbMATH Keywords

maximum principlestochastic variational inequalitysupport theorem

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Optimality conditions for problems involving randomness (49K45) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic analysis (60H99) Optimal stochastic control (93E20)

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Cited in

(5)

• The variational maximum principle and second-order optimality conditions for impulse processes and singular processes
• scientific article; zbMATH DE number 2127745 (Why is no real title available?)
• A Stochastic Pontryagin Maximum Principle on the Sierpinski Gasket
• scientific article; zbMATH DE number 953309 (Why is no real title available?)
• A maximum principle for SDEs of mean-field type

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