The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions

DOI10.1155/2014/201491zbMath1297.49039OpenAlexW1966445264WikidataQ59046936 ScholiaQ59046936MaRDI QIDQ2444215

Brahim Mezerdi, Farid Chighoub

Publication date: 9 April 2014

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/201491

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimality conditions for problems involving randomness (49K45)

Related Items

A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus, The relaxed stochastic maximum principle in singular optimal control of jump diffusions, Stochastic recursive optimal control problem with time delay and applications

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