Existence of singular optimal control laws for stochastic differential equations

DOI10.1080/17442509408833908MaRDI QIDQ4845478zbMATH OpenOpenAlexFDO

Authors Ulrich G. Haussmann, W. Suo

Publication date 18 October 1995

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833908

zbMATH Keywords

existence theorysingular controlssingular control laws

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

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Cited in

(7)

• scientific article; zbMATH DE number 1642334 (Why is no real title available?)
• Existence of optimal controls for SPDE with locally monotone coefficients
• Singular Optimal Stochastic Controls I: Existence
• Existence of optimal controls for singular control problems with state constraints
• The stochastic maximum principle in singular optimal control with recursive utilities
• On sufficient and necessary of existence for a class of singular optimal stochastic control
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions

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