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
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.