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2005 A General Stochastic Maximum Principle for Singular Control Problems
Seid Bahlali, Brahim Mezerdi
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Electron. J. Probab. 10: 988-1004 (2005). DOI: 10.1214/EJP.v10-271

Abstract

We consider the stochastic control problem in which the control domain need not be convex, the control variable has two components, the first being absolutely continuous and the second singular. The coefficients of the state equation are non linear and depend explicitly on the absolutely continuous component of the control. We establish a maximum principle, by using a spike variation on the absolutely continuous part of the control and a convex perturbation on the singular one. This result is a generalization of Peng's maximum principle to singular control problems.

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Seid Bahlali. Brahim Mezerdi. "A General Stochastic Maximum Principle for Singular Control Problems." Electron. J. Probab. 10 988 - 1004, 2005. https://doi.org/10.1214/EJP.v10-271

Information

Accepted: 21 July 2005; Published: 2005
First available in Project Euclid: 1 June 2016

zbMATH: 1110.49024
MathSciNet: MR2164037
Digital Object Identifier: 10.1214/EJP.v10-271

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