The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
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DOI：
10.1515/1569397053300919
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
S. Bahlali;A. Chala
中科院分区：
文献类型：
--
作者：
S. Bahlali;A. Chala
考虑一类非线性系统的随机控制问题，其中变量控制具有两个分量，第一个分量是绝对连续的，第二个分量是奇异的。我们假设一个凸的状态约束，一个非凸的成本标准，我们允许控制的绝对连续分量进入漂移和扩散系数。最大值原理主要是通过对给定的最优控制的凸摄动来建立的。这个结果同时推广了Cadellinas-Haussman和Bensoussan的结果。
We consider a stochastic control problem of a non linear system in which the variable control has two components, the first being absolutely continuous and the second singular. We assume a convex state constraint, a non convex cost criterion and we allow the absolutely continuous component of the control to enter both the drift and diffusion coefficients. The maximum principle is established by using mainly a convex perturbation on a given optimal control. This result generalizes at the same time the result obtained by Cadellinas-Haussman as well as that obtained by Bensoussan.