Please use this identifier to cite or link to this item:
|Title:||On necessary and sufficient conditions for near-optimal singular stochastic controls|
|Keywords:||Near-optimal singular stochastic control ; Maximum principle ; Necessary and sufficient conditions ; Ekeland’s variational principle|
|Abstract:||In this paper we discuss the necessary and sufficient conditions for near-optimal singular stochastic controls for the systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on Ekeland’s variational principle and some delicate estimates of the state and adjoint processes. It is well known that optimal singular controls may fail to exist even in simple cases. This justifies the use of near-optimal singular controls, which exist under minimal conditions and are sufficient in most practical cases. Moreover, since there are many near-optimal singular controls, it is possible to choose suitable ones, that are convenient for implementation. This result is a generalization of Zhou’s stochastic maximum principle for near-optimality to singular control problem. Link http://link.springer.com/article/10.1007%2Fs11590-012-0484-6#page-1|
|Appears in Collections:||Publications Internationales|
Files in This Item:
|On necessary and sufficient conditions for near-optimal singular stochastic controls.pdf||36,64 kB||Adobe PDF||View/Open|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.