A general stochastic maximum principle for singular control problems
From MaRDI portal
Publication:850370
DOI10.1214/EJP.v10-271zbMath1110.49024arXiv0801.4669OpenAlexW2032945067MaRDI QIDQ850370
Publication date: 3 November 2006
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.4669
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)
Related Items (17)
The stochastic maximum principle in singular optimal control with recursive utilities ⋮ On necessary and sufficient conditions for near-optimal singular stochastic controls ⋮ The general maximum principle for stochastic control problems with singular controls ⋮ A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus ⋮ The relaxed stochastic maximum principle in singular optimal control of jump diffusions ⋮ Necessary stochastic maximum principle for dissipative systems on infinite time horizon ⋮ Maximum principle for stochastic recursive optimal control problems involving impulse controls ⋮ The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions ⋮ Sufficient stochastic maximum principle for discounted control problem ⋮ On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality ⋮ On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients ⋮ Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces ⋮ Necessary conditions for optimal singular stochastic control problems ⋮ The relaxed general maximum principle for singular optimal control of diffusions ⋮ Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems ⋮ Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls ⋮ Optimality necessary conditions in singular stochastic control problems with nonsmooth data
This page was built for publication: A general stochastic maximum principle for singular control problems
