The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

DOI10.1137/050644744MaRDI QIDQ5453571zbMATH OpenOpenAlexFDO

Authors Seïd Bahlali, Boualem Djehiche, Brahim Mezerdi

Publication date 3 April 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050644744

zbMATH Keywords

maximum principlevariational inequalityvariational principlerelaxed controladjoint processsingular control

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited in

(23)

• The stochastic maximum principle in singular optimal control with recursive utilities
• Solution examples of an impulse control problem
• The relaxed general maximum principle for singular optimal control of diffusions
• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
• Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
• The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
• The stochastic maximum principle for a singular control problem
• Stochastic controls of relaxed-singular problems
• Singular optimal controls for stochastic recursive systems under convex control constraint
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Maximum principle for stochastic control of SDEs with measurable drifts
• Optimal controls for stochastic systems with singular noise
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data
• Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
• Impulse control problem with switching technology
• Strong solutions of forward-backward stochastic differential equations with measurable coefficients
• On the relaxed mean-field stochastic control problem
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
• Large Sample Mean-Field Stochastic Optimization

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