Existence of singular optimal control laws for stochastic differential equations

DOI10.1080/17442509408833908zbMath0827.60039OpenAlexW2095521749MaRDI QIDQ4845478

Ulrich G. Haussmann, W. Suo

Publication date: 18 October 1995

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

Full work available at URL: https://doi.org/10.1080/17442509408833908

zbMATH Keywords

singular controlsexistence theorysingular control laws

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

The stochastic maximum principle in singular optimal control with recursive utilities ⋮ The relaxed stochastic maximum principle in singular optimal control of jump diffusions

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