An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
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- On solutions of a class of infinite horizon FBSDEs
- On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
- On the stochastic maximum principle. Fixed time of control
- Optimality necessary conditions in singular stochastic control problems with nonsmooth data
- Optimization and nonsmooth analysis
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Cited in
(10)- The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
- Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems
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- The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
- Maximum principle for stochastic control of SDEs with measurable drifts
- Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
- On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
- Continuous-action planning for discounted infinite-horizon nonlinear optimal control with Lipschitz values
- Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
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