The relaxed general maximum principle for singular optimal control of diffusions

DOI10.1016/j.sysconle.2008.08.003zbMath1154.93043MaRDI QIDQ999836

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

zbMATH Keywords

maximum principle; singular control; adjoint equations; relaxed control; martingale measures

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

Related Items

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information, A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus

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