Weakly Coercive Problems in Nonlinear Stochastic Control: Existence of Optimal Controls

DOI10.1137/080730202zbMath1202.93175OpenAlexW1977002092MaRDI QIDQ3162599

Caterina Sartori, Monica Motta

Publication date: 20 October 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080730202

zbMATH Keywords

optimal controlsingular stochastic controltime-changenonlinear stochastic control systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

On the value function of weakly coercive problems in nonlinear stochastic control ⋮ Normality and nondegeneracy of the maximum principle in optimal impulsive control under state constraints ⋮ On a class of singular stochastic control problems driven by Lévy noise

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