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The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2009 (English)In: Random Operators and Stochastic Equations, ISSN 0926-6364, E-ISSN 1569-397X, Vol. 17, 35-53 p.Article in journal (Refereed) Published
Abstract [en]

For a controlled stochastic di¤erential equation with a …nite horizon cost functional,a necessary conditions for optimal control of degenerate di¤usions with non smooth coe¢ cients isderived. The main idea is to show that the SDES admit a unique linearized version interpreted as itsdistributional derivative with respect to the initial condition, we use technique of Bouleau-Hirsch onabsolute contunuity of probability measures in order to de…ne the adjoint process on an extension ofthe initial probability space.

Place, publisher, year, edition, pages
2009. Vol. 17, 35-53 p.
Keyword [en]
stochastic di¤erential equation, optimal control, maximum principle, non smooth coe¢ cients.
National Category
URN: urn:nbn:se:kth:diva-59950ScopusID: 2-s2.0-84858390664OAI: diva2:476778
QC 20120125Available from: 2012-01-12 Created: 2012-01-12 Last updated: 2012-01-25Bibliographically approved

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