A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus

DOI10.1007/s13370-015-0351-6zbMath1386.93312OpenAlexW812938447MaRDI QIDQ1689689

Brahim Mezerdi, Samia Yakhlef

Publication date: 17 January 2018

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-015-0351-6

zbMATH Keywords

optimal controlnecessary optimality conditionsstochastic maximum principlepartial informationsingular controlMalliavin derivativeadjoint process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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