On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control†

DOI10.1080/17442508.2010.522238zbMath1252.49036MaRDI QIDQ4648585

Farid Chighoub, Khaled Bahlali, Brahim Mezerdi

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.522238

zbMATH Keywords

stochastic maximum principle; singular control; dynamic programming principle

Mathematics Subject Classification ID

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

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness