Necessary conditions for optimality for a diffusion with a non-smooth drift

DOI10.1080/17442508808833521zbMath0651.93077MaRDI QIDQ3797083

Brahim Mezerdi

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833521

zbMATH Keywords

maximum principle; stochastic control problem; adjoint process; non-smooth drift

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93C10: Nonlinear systems in control theory

93E20: Optimal stochastic control

60J60: Diffusion processes

49K45: Optimality conditions for problems involving randomness

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