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|Title:||Generalized Gradient in Weak Maximum Principle with Non-differentiable Drift|
|Keywords:||Keywords : stochastic maximum principle; controlled diffusion; generalized gradient; non-differentiable drift; Ekeland's variational principle; convex control domain|
|Abstract:||We study the optimal stochastic control of systems driven by nonlinearly controlled stochastic differential equations with non-differentiable drift. The control-domain under consideration is necessarily convex and the diffusion coefficient can contain a control-variable. Link https://www.novapublishers.com/catalog/product_info.php?products_id=31784|
|Appears in Collections:||Publications Internationales|
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