Please use this identifier to cite or link to this item:
http://archives.univ-biskra.dz/handle/123456789/2868| Title: | On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients |
| Authors: | Bahlali, K Djehiche, B Mezerdi, B. |
| Keywords: | stochastic differential equation; optimal control; stochastic maximum principle;degenerate diffusion. |
| Issue Date: | 21-May-2014 |
| Abstract: | We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space. Link http://apps.webofknowledge.com.www.sndl1.arn.dz/full_record.do?product=UA&search_mode=On eClickSearch&qid=7&SID=U1LlS2LUIj38alS36Mg&page=1&doc=7&cacheurlFromRightClick=no |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2868 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients.pdf | 36,72 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.