The general maximum principle for stochastic control problems with singular controls.
| Autor: | Song, Yuanzhuo, Wu, Zhen |
|---|---|
| Předmět: | |
| Zdroj: | Discrete & Continuous Dynamical Systems: Series A; Nov2022, Vol. 42 Issue 11, p5437-5451, 15p |
| Abstrakt: | We consider a stochastic control problem with an absolutely continuous control and a singular control. The control domain of the two kinds of admissible controls need not to be convex. We obtain two maximum principles respectively by applying spike variation to these two kinds of optimal controls. [ABSTRACT FROM AUTHOR] |
| Databáze: | Complementary Index |
| Externí odkaz: |
|