Maximum principle for stochastic control of SDEs with measurable drifts
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Publication:6167091
DOI10.1007/s10957-023-02209-0zbMath1518.49033arXiv2101.06205OpenAlexW3124120670MaRDI QIDQ6167091
Olivier Menoukeu Pamen, Ludovic Tangpi
Publication date: 7 July 2023
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.06205
stochastic maximum principleEkeland's variational principlesingular driftsSobolev differentiable flow
Inequalities; stochastic orderings (60E15) Variational principles in infinite-dimensional spaces (58E30) Diffusion processes (60J60) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)
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