On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control†

DOI10.1080/17442508.2010.522238zbMath1252.49036OpenAlexW2013627718MaRDI QIDQ4648585

Farid Chighoub, Khaled Bahlali, Brahim Mezerdi

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.522238

zbMATH Keywords

stochastic maximum principlesingular controldynamic programming principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty ⋮ A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus ⋮ Itô's formula for flows of measures on semimartingales ⋮ The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions ⋮ Stochastic recursive optimal control problem with time delay and applications

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