Generalized gradient in weak maximum principle with non-differentiable drift

MaRDI QIDQ4904152zbMATH OpenFDO

Authors Mokhtar Hafayed, Syed Abbas

Publication date 28 January 2013

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)

Recommendations

• Necessary conditions for optimality for a diffusion with a non-smooth drift
• A General Stochastic Maximum Principle for Optimal Control Problems
• The maximum principle for optimal control of diffusions with non-smooth coefficients
• scientific article; zbMATH DE number 4149013
• A stochastic maximum principle with dissipativity conditions

Cited in

(1)

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

This page was built for publication: Generalized gradient in weak maximum principle with non-differentiable drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4904152)