Article
Licensed
Unlicensed
Requires Authentication
The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
-
Farid Chighoub
Published/Copyright:
May 29, 2009
Abstract
For a controlled stochastic differential equation with a finite horizon cost functional, a necessary condition for optimal control of degenerate diffusions with non-smooth coefficients is derived. The main idea is to show that the SDE admits a unique linearized version interpreted as its distributional derivative with respect to the initial condition. We use a technique of Bouleau–Hirsch on absolute continuity of probability measures in order to define the adjoint process on an extension of the initial probability space.
Key words.: Stochastic differential equation; optimal control; maximum principle; non-smooth coefficients
Received: 2008-04-02
Published Online: 2009-05-29
Published in Print: 2009-May
© de Gruyter 2009
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- Semicircle law for random matrices of long-range percolation model
- The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
- The asymptotic behaviour of the maximum of a random sample subject to trends in location and scale
- Evolution process as an alternative to diffusion process and Black–Scholes Formula
- Occupation time problems for fractional Brownian motion and some other self-similar processes
- Properties of the distribution of the random variable defined by A2-continued fraction with independent elements
Keywords for this article
Stochastic differential equation;
optimal control;
maximum principle;
non-smooth coefficients
Articles in the same Issue
- Semicircle law for random matrices of long-range percolation model
- The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
- The asymptotic behaviour of the maximum of a random sample subject to trends in location and scale
- Evolution process as an alternative to diffusion process and Black–Scholes Formula
- Occupation time problems for fractional Brownian motion and some other self-similar processes
- Properties of the distribution of the random variable defined by A2-continued fraction with independent elements
