Stochastic controls of relaxed-singular problems

DOI10.1515/ROSE-2014-0003MaRDI QIDQ5402781zbMATH OpenOpenAlexFDO

Authors Adel Chala, Seïd Bahlali

Publication date 17 March 2014

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2014-0003

zbMATH Keywords

stochastic differential equationmaximum principleadjoint equationoptimal controlvariational inequalityvariational principlerelaxed-singular control

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited in

(13)

• Singular Stochastic Control Problems Solved by a Sparse Simplex Method
• The stochastic maximum principle for relaxed control problem with regime-switching
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• A general stochastic maximum principle for singular control problems
• Approximation and optimality necessary conditions in relaxed stochastic control problems
• Random relaxed controls and partially observed stochastic systems
• Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
• The general maximum principle for stochastic control problems with singular controls
• Optimal controls for stochastic systems with singular noise
• scientific article; zbMATH DE number 176953 (Why is no real title available?)

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