The maximum principle for optimal control of diffusions with non-smooth coefficients

DOI10.1080/17442509608834065zbMath0891.93079OpenAlexW1986062825MaRDI QIDQ4364130

Brahim Mezerdi, Khaled Bahlali, Youssef Ouknine

Publication date: 12 July 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509608834065

zbMATH Keywords

stochastic maximum principleadjoint processnondifferentiable coefficients

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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