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Title: Necessary conditions for optimality for a diffusion with a non-smooth drift
Authors: Mezerdi Brahim
Keywords: Maximum principle
adjoint process
variational principle
stable convergence
Issue Date: 26-Jun-2014
Abstract: The purpose of this paper is to establish the necessary conditions for optimality of a controlled stochastic differential system without differentiability assumptions on the drift. We use an approximation argument in order to obtain a sequence of smooth control problems, and we apply Ekeland's variational principle to derive the associated adjoint processes. Passing at the Limit with respect to the stable convergence, we obtain a weak adjoint process and the inequality between Hamiltonians. This result is a generalisation of Kushner's maximum principle
Appears in Collections:Publications Internationales

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