Generalized gradient in weak maximum principle with non-differentiable drift

zbMATH Open1266.60103MaRDI QIDQ4904152FDOQ4904152

Authors: Mokhtar Hafayed, Syed Abbas 

Publication date: 28 January 2013

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zbMATH Keywords

stochastic maximum principleEkeland's variational principlegeneralized gradientcontrolled diffusionconvex control domainnon-differentiable drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited In (1)

• Necessary conditions for optimality for a diffusion with a non-smooth drift

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