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

DOI10.1515/ROSE.2009.002zbMath1224.93131OpenAlexW2089656874MaRDI QIDQ3077685

Farid Chighoub, Brahim Mezerdi, Boualem Djehiche

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

optimal controlmaximum principlestochastic differential equationnon-smooth coefficient

Mathematics Subject Classification ID

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

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Cites Work

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