An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients

DOI10.1016/j.jmaa.2014.09.010zbMath1341.49031OpenAlexW1992463621MaRDI QIDQ458360

Virginie Konlack Socgnia, Olivier Menoukeu Pamen

Publication date: 7 October 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.09.010

zbMATH Keywords

stochastic maximum principledegenerate diffusionforward-backward stochastic differential equationsdiscounted control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

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Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems

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