Please use this identifier to cite or link to this item:
|Title:||The relaxed stochastic maximum principle in singular optimal control of diffusions|
|Keywords:||singular control; maximum principle; adjoint process; variational inequality; relaxed control; variational principle.|
|Abstract:||This paper studies optimal control of systems driven by stochastic differential equations, where the control variable has two components, the first being absolutely continuous and the second singular. Our main result is a stochastic maximum principle for relaxed controls, where the first part of the control is a measure valued process. To achieve this result, we establish first order optimality necessary conditions for strict controls by using strong perturbation on the absolutely continuous component of the control and a convex perturbation on the singular one. The proof of the main result is based on the strict maximum principle, Ekeland's variational principle, and some stability properties of the trajectories and adjoint processes with respect to the control variable. 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=8&cacheurlFromRightClick=no|
|Appears in Collections:||Publications Internationales|
Files in This Item:
|The relaxed stochastic maximum principle in singular optimal control of diffusions.pdf||36,38 kB||Adobe PDF||View/Open|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.