Necessary conditions for optimality for a diffusion with a non-smooth drift
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Publication:3797083
DOI10.1080/17442508808833521zbMath0651.93077OpenAlexW2063045479MaRDI QIDQ3797083
Publication date: 1988
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508808833521
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)
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The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients ⋮ Stability and Optimal Control of Stochastic Functional-Differential Equations With Memory ⋮ Near-optimality conditions in stochastic control of linear fully coupled FBSDEs ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Near-relaxed control problem of fully coupled forward-backward doubly system ⋮ Near optimality conditions in stochastic control of jump diffusion processes ⋮ An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients ⋮ On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients ⋮ Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs ⋮ Approximation and optimality necessary conditions in relaxed stochastic control problems ⋮ Optimality necessary conditions in singular stochastic control problems with nonsmooth data ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients
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