The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
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Publication:5453571
DOI10.1137/050644744zbMath1141.93063OpenAlexW2090866533MaRDI QIDQ5453571
Boualem Djehiche, Brahim Mezerdi, Seid Bahlali
Publication date: 3 April 2008
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/050644744
maximum principlevariational inequalityvariational principlesingular controlrelaxed controladjoint process
Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)
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