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- Title
The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients.
- Authors
Bahlali, Seid; Chala, Adel
- Abstract
We consider a stochastic control problem of a non linear system in which the variable control has two components, the first being absolutely continuous and the second singular. We assume a convex state constraint, a non convex cost criterion and we allow the absolutely continuous component of the control to enter both the drift and diffusion coefficients. The maximum principle is established by using mainly a convex perturbation on a given optimal control. This result generalizes at the same time the result obtained by Cadellinas-Haussman as well as that obtained by Bensoussan.
- Subjects
STOCHASTIC analysis; CONVEX functions; HEAT equation; NONLINEAR integral equations; MATHEMATICAL analysis
- Publication
Random Operators & Stochastic Equations, 2005, Vol 13, Issue 1, p1
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/1569397053300919