On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients

Applied Mathematics and Optimization

Volumn 56, Issue 3, 2007, Pages 364-378

  Bahlali, Khaled ^a,b   Djehiche, Boualem ^c   Mezerdi, Brahim ^d  

^a UTV   (France)

^b CENTRE DE PHYSIQUE THÉORIQUE   (France)

^c ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^d UNIVERSITY OF BISKRA   (Algeria)

Author keywords

Degenerate diffusion; Optimal control; Stochastic differential equation; Stochastic maximum principle

Indexed keywords

BOULEAU HIRSH FLOW PROPERTY; DEGENERATE DIFFUSIONS; LIPSCHITZ COEFFICIENTS; STOCHASTIC DIFFERENTIAL EQUATION;

DISTRIBUTION FUNCTIONS; MAXIMUM PRINCIPLE; OPTIMAL CONTROL SYSTEMS; PROBABILITY;

STOCHASTIC MODELS;

EID: 36749032185     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-007-9017-6     Document Type: Article

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