The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
DOI10.1515/ROSE.2009.002zbMATH Open1224.93131OpenAlexW2089656874MaRDI QIDQ3077685FDOQ3077685
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
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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)
Cites Work
- A General Stochastic Maximum Principle for Optimal Control Problems
- An Introductory Approach to Duality in Optimal Stochastic Control
- The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
- On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- Conjugate convex functions in optimal control and the calculus of variations
- Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
- Necessary conditions without differentiability assumptions in optimal control
- The First Order Necessary Conditions for Nonsmooth Variational and Control Problems
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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