The relaxed general maximum principle for singular optimal control of diffusions

DOI10.1016/J.SYSCONLE.2008.08.003zbMATH Open1154.93043OpenAlexW2068206136MaRDI QIDQ999836FDOQ999836

Authors: Daniel Andersson 

Publication date: 10 February 2009

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2008.08.003

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zbMATH Keywords

maximum principlerelaxed controladjoint equationssingular controlmartingale measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

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• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

Cited In (10)

• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
• Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
• Stochastic controls of relaxed-singular problems
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
• Title not available (Why is that?)
• Approximation in optimal control of diffusion processes
• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
• The maximum principle in optimal control of systems driven by martingale measures

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