The relaxed general maximum principle for singular optimal control of diffusions

DOI10.1016/J.SYSCONLE.2008.08.003MaRDI QIDQ999836zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(10)

• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
• 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
• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
• Stochastic controls of relaxed-singular problems
• Approximation in optimal control of diffusion processes
• 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
• The maximum principle in optimal control of systems driven by martingale measures
• scientific article; zbMATH DE number 3856975 (Why is no real title available?)

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