On necessary and sufficient conditions for near-optimal singular stochastic controls

DOI10.1007/s11590-012-0484-6zbMath1272.93129arXiv1110.5553OpenAlexW3102109683MaRDI QIDQ2377219

Petr Veverka, Syed Abbas, Mokhtar Hafayed

Publication date: 28 June 2013

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.5553

zbMATH Keywords

maximum principlenecessary and sufficient conditionsEkeland's variational principlenear-optimal singular stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (10)

Maximum principle for near-optimality of stochastic delay control problem ⋮ Near-optimal control of stochastic recursive systems via viscosity solution ⋮ Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions ⋮ On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. ⋮ Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation ⋮ On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality ⋮ A mean-field necessary and sufficient conditions for optimal singular stochastic control ⋮ On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures ⋮ Necessary condition for near optimal control of linear forward–backward stochastic differential equations ⋮ Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls

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