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On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2007 (English)In: Applied mathematics and optimization, ISSN 0095-4616, E-ISSN 1432-0606, Vol. 56, no 3, 364-378 p.Article in journal (Refereed) Published
Abstract [en]

We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space.

Place, publisher, year, edition, pages
2007. Vol. 56, no 3, 364-378 p.
Keyword [en]
stochastic differential equation, optimal control, stochastic maximum, principle, degenerate diffusion
Identifiers
URN: urn:nbn:se:kth:diva-17134DOI: 10.1007/s00245-007-9017-6ISI: 000251235100004Scopus ID: 2-s2.0-36749032185OAI: oai:DiVA.org:kth-17134DiVA: diva2:335177
Note
QC 20100525Available from: 2010-08-05 Created: 2010-08-05Bibliographically approved

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Djehiche, Boualem

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