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)

Recommendations

• The relaxed general maximum principle for singular optimal control of diffusions
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
• scientific article; zbMATH DE number 3999814
• The stochastic maximum principle for a singular control problem
• Maximum Principle for Singular Stochastic Control Problems
• A general stochastic maximum principle for singular control problems
• The general maximum principle for stochastic control problems with singular controls
• The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients

Cited in

(26)

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

This page was built for publication: The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5453571)