Approximation and optimality necessary conditions in relaxed stochastic control problems

DOI10.1155/JAMSA/2006/72762zbMATH Open1119.49027MaRDI QIDQ995846FDOQ995846

Authors: Brahim Mezerdi, Boualem Djehiche, Seïd Bahlali 

Publication date: 10 September 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53388

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zbMATH Keywords

stochastic differential equationmaximum principle of Pontryagin typePeng maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cites Work

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Cited In (28)

• On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
• On optimal control of forward-backward stochastic differential equations
• Existence and optimality conditions for relaxed mean-field stochastic control problems
• Optimality conditions in variational form for non-linear constrained stochastic control problems
• Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
• Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems
• The stochastic maximum principle for relaxed control problem with regime-switching
• Sufficient relative minimum conditions in the optimal control problem for quasilinear stochastic systems
• Stochastic controls of relaxed-singular problems
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• Stability of McKean-Vlasov stochastic differential equations and applications
• The relaxed general maximum principle for singular optimal control of diffusions
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• Existence of relaxed optimal control for \(G\)-neutral stochastic functional differential equations with uncontrolled diffusion
• Necessary conditions for optimality in relaxed stochastic control problems
• A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
• On the relaxed mean-field stochastic control problem
• The relaxed optimal control problem for mean-field SDEs systems and application
• A revisit to stochastic near-optimal controls: the critical case
• On the stability of mean-field stochastic differential equations with irregular expectation functional
• Approximation in optimal control of diffusion processes
• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
• The general relaxed control problem of fully coupled forward-backward doubly system
• \(N\)-player games and mean-field games with smooth dependence on past absorptions
• Approximation of solutions of mean-field stochastic differential equations
• The maximum principle in optimal control of systems driven by martingale measures

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