An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients

DOI10.1016/J.JMAA.2014.09.010zbMATH Open1341.49031OpenAlexW1992463621MaRDI QIDQ458360FDOQ458360

Authors: Virginie Konlack Socgnia, Olivier Menoukeu-Pamen 

Publication date: 7 October 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.09.010

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zbMATH Keywords

stochastic maximum principledegenerate diffusionforward-backward stochastic differential equationsdiscounted control problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (10)

• Title not available (Why is that?)
• The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• Continuous-action planning for discounted infinite-horizon nonlinear optimal control with Lipschitz values
• Sufficient stochastic maximum principle for discounted control problem
• Maximum principle for stochastic control of SDEs with measurable drifts
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
• Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems

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