Approximation and optimality necessary conditions in relaxed stochastic control problems

DOI10.1155/JAMSA/2006/72762zbMath1119.49027MaRDI QIDQ995846

Brahim Mezerdi, Boualem Djehiche, Seid 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

zbMATH Keywords

stochastic differential equationmaximum principle of Pontryagin typePeng maximum principle

Mathematics Subject Classification ID

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

Related Items (13)

On the stability of mean-field stochastic differential equations with irregular expectation functional ⋮ Existence and optimality conditions for relaxed mean-field stochastic control problems ⋮ A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization ⋮ Existence of relaxed optimal control for $G$-neutral stochastic functional differential equations with uncontrolled diffusion ⋮ On optimal control of forward-backward stochastic differential equations ⋮ The general relaxed control problem of fully coupled forward-backward doubly system ⋮ On the relaxed mean-field stochastic control problem ⋮ The relaxed general maximum principle for singular optimal control of diffusions ⋮ On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion ⋮ Stability of McKean–Vlasov stochastic differential equations and applications ⋮ Approximation of solutions of mean-field stochastic differential equations ⋮ \(N\)-player games and mean-field games with smooth dependence on past absorptions ⋮ The stochastic maximum principle for relaxed control problem with regime-switching

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