The general maximum principle for stochastic control problems with singular controls

DOI10.3934/DCDS.2022106MaRDI QIDQ2676620zbMATH OpenOpenAlexFDO

Authors Yuanzhuo Song, Zhen Wu

Publication date 28 September 2022

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcds.2022106

zbMATH Keywords

adjoint equationimpulse controlmaximum principlesingular controlspike variationvariation equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites work

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• Portfolio Selection with Transaction Costs
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• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
• The stochastic maximum principle for a singular control problem
• The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients

Cited in

(12)

• Generalized solution in singular stochastic control: The nondegenerate problem
• The stochastic maximum principle in singular optimal control with recursive utilities
• A General Stochastic Maximum Principle for Optimal Control Problems
• Maximum Principle for Singular Stochastic Control Problems
• scientific article; zbMATH DE number 6108110 (Why is no real title available?)
• The stochastic maximum principle for a singular control problem
• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
• The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
• A second-order maximum principle for singular optimal stochastic controls
• A general maximum principle for partially observed stochastic control problems with singular controls
• A general stochastic maximum principle for singular control problems
• The relaxed general maximum principle for singular optimal control of diffusions

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