A Mean-Field Necessary and Sufficient Conditions for Optimal Singular Stochastic Control
نویسندگان
چکیده
منابع مشابه
On necessary and sufficient conditions for near-optimal singular stochastic controls
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on Ekeland’s variational principle and some dilecate estimates of the state and adjoint processes. This result is a generalization of Zhou’s stochastic maximum principl...
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ژورنال
عنوان ژورنال: Communications in Mathematics and Statistics
سال: 2013
ISSN: 2194-6701,2194-671X
DOI: 10.1007/s40304-014-0023-0