The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients

DOI10.1515/ROSE.2009.002MaRDI QIDQ3077685zbMATH OpenOpenAlexFDO

Authors Farid Chighoub, Boualem Djehiche, Brahim Mezerdi

Publication date 22 February 2011

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2009.002

zbMATH Keywords

stochastic differential equationmaximum principleoptimal controlnon-smooth coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving ordinary differential equations (49K15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Optimal stochastic control (93E20)

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Cites work

• A General Stochastic Maximum Principle for Optimal Control Problems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Conjugate convex functions in optimal control and the calculus of variations
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Necessary conditions without differentiability assumptions in optimal control
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• The First Order Necessary Conditions for Nonsmooth Variational and Control Problems
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

Cited in

(7)

• A maximum principle for SDEs of mean-field type
• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
• A necessary condition of optimality for uncertain optimal control problem
• An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
• The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
• Stochastic Feedback Control With One-Dimensional Degenerate Diffusions and Nonsmooth Value Functions

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