The maximum principle for optimal control of diffusions with non-smooth coefficients

DOI10.1080/17442509608834065MaRDI QIDQ4364130zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine

Publication date 12 July 1998

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509608834065

zbMATH Keywords

adjoint processnondifferentiable coefficientsstochastic maximum principle

Mathematics Subject Classification ID

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

Recommendations

• Necessary conditions for optimality for a diffusion with a non-smooth drift
• The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
• Filippov approach in stochastic maximum principle without differentiability assumptions
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data

Cited in

(23)

• Optimality necessary conditions in singular stochastic control problems with nonsmooth data
• Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
• Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
• The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
• A stochastic maximum principle with dissipativity conditions
• The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
• Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
• Filippov approach in stochastic maximum principle without differentiability assumptions
• Necessary conditions for optimality for a diffusion with a non-smooth drift
• scientific article; zbMATH DE number 1066317 (Why is no real title available?)
• scientific article; zbMATH DE number 2015383 (Why is no real title available?)
• An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
• A stochastic optimal control model for BCG immunotherapy in superficial bladder cancer
• Generalized gradient in weak maximum principle with non-differentiable drift
• Maximum principle for stochastic control of SDEs with measurable drifts
• Near optimality conditions in stochastic control of jump diffusion processes
• Pontryagin's optimal variational inequalities for SDEs with non-differentiable coefficients: a Malliavin calculus approach
• Maximum principle for BSDEs with locally Lipschitz and logarithmic growth
• -maximum principle for stochastic delayed control problems with jump-diffusion processes and application to social network-based advertising model
• On the existence of optimal controls for reflected McKean-Vlasov stochastic differential equations
• Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
• The relaxed general maximum principle for singular optimal control of diffusions

This page was built for publication: The maximum principle for optimal control of diffusions with non-smooth coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4364130)