A revisit to stochastic near-optimal controls: the critical case

DOI10.1016/J.SYSCONLE.2015.04.008MaRDI QIDQ899111zbMATHOpenAlexFDO

Authors Qingxin Meng, Yang Shen

Publication date 21 December 2015

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2015.04.008

zbMATH Keywords

maximum principleerror boundEkeland's variational principlenecessary conditionstochastic near-optimal control

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cites work

• A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems
• A variational formula for stochastic controls and some applications
• Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach
• Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
• Near optimality conditions in stochastic control of jump diffusion processes
• Near-optimal control for stochastic recursive problems
• Near-optimal control problems for linear forward-backward stochastic systems
• Near-optimal controls of random-switching LQ problems with indefinite control weight costs
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
• On the variational principle
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• The variational principle and stochastic optimal control

Cited in

(7)

• Near-optimal control for stochastic recursive problems
• scientific article; zbMATH DE number 7593724 (Why is no real title available?)
• Maximum principle for near-optimality of stochastic delay control problem
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• Optimal control for stochastic delay evolution equations
• Near-optimal control of stochastic recursive systems via viscosity solution
• Near optimality of quantized policies in stochastic control under weak continuity conditions

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