The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

DOI10.1137/050644744zbMATH Open1141.93063OpenAlexW2090866533MaRDI QIDQ5453571FDOQ5453571

Boualem Djehiche, Brahim Mezerdi, Seïd Bahlali

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)

Cited In (19)

• Large Sample Mean-Field Stochastic Optimization
• Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
• Solution examples of an impulse control problem
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• The stochastic maximum principle in singular optimal control with recursive utilities
• The relaxed general maximum principle for singular optimal control of diffusions
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• On the relaxed mean-field stochastic control problem
• 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
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data
• The stochastic maximum principle for a singular control problem
• Singular optimal controls for stochastic recursive systems under convex control constraint
• 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 stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control^†
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls

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