On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients

On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz... We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients

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Publisher
Springer-Verlag
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-007-9017-6
Publisher site
See Article on Publisher Site

Abstract

We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Dec 1, 2007

References

  • The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
    Bahlali, S.; Chala, A.

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