The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

DOI10.1137/050644744MaRDI QIDQ5453571zbMATH OpenOpenAlexFDO

Authors Seïd Bahlali, Boualem Djehiche, Brahim Mezerdi

Publication date 3 April 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050644744

zbMATH Keywords

adjoint processmaximum principlerelaxed controlsingular controlvariational inequalityvariational principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

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Cited in

(28)

• Optimality necessary conditions in singular stochastic control problems with nonsmooth data
• Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
• The stochastic maximum principle in singular optimal control with recursive utilities
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
• Optimal controls for stochastic systems with singular noise
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Strong solutions of forward-backward stochastic differential equations with measurable coefficients
• Solution examples of an impulse control problem
• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
• The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
• On the relaxed mean-field stochastic control problem
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
• Impulse control problem with switching technology
• The stochastic maximum principle for a singular control problem
• Large Sample Mean-Field Stochastic Optimization
• Stochastic controls of relaxed-singular problems
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• Maximum principle for stochastic control of SDEs with measurable drifts
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Maximum principle for optimal control problems of extended mean-field forward-backward regime-switching systems with general singular controls
• Optimal strategies of regular-singular mean-field delayed stochastic differential games
• Skorokhod transition in the conic market model
• -maximum principle for stochastic delayed control problems with jump-diffusion processes and application to social network-based advertising model
• A stochastic maximum principle for relaxed control with general risk measure and its application in finance
• Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
• The relaxed general maximum principle for singular optimal control of diffusions

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