The relaxed general maximum principle for singular optimal control of diffusions
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Publication:999836
DOI10.1016/j.sysconle.2008.08.003zbMath1154.93043OpenAlexW2068206136MaRDI QIDQ999836
Publication date: 10 February 2009
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2008.08.003
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
Related Items (2)
Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
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