Approximation and optimality necessary conditions in relaxed stochastic control problems

DOI10.1155/JAMSA/2006/72762MaRDI QIDQ995846zbMATH OpenFDO

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

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)

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Cited in

(28)

• Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems
• The relaxed general maximum principle for singular optimal control of diffusions
• Optimality conditions in variational form for non-linear constrained stochastic control problems
• 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
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• On the stability of mean-field stochastic differential equations with irregular expectation functional
• Stochastic controls of relaxed-singular problems
• Approximation in optimal control of diffusion processes
• \(N\)-player games and mean-field games with smooth dependence on past absorptions
• On optimal control of forward-backward stochastic differential equations
• The stochastic maximum principle for relaxed control problem with regime-switching
• Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
• A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
• 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 optimal control for \(G\)-neutral stochastic functional differential equations with uncontrolled diffusion
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• Stability of McKean-Vlasov stochastic differential equations and applications
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• The relaxed optimal control problem for mean-field SDEs systems and application

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