8 research outputs found
Optimality necessary conditions in singular stochastic control problems with nonsmooth data
AbstractThe present paper studies the stochastic maximum principle in singular optimal control, where the state is governed by a stochastic differential equation with nonsmooth coefficients, allowing both classical control and singular control. The proof of the main result is based on the approximation of the initial problem, by a sequence of control problems with smooth coefficients. We, then apply Ekeland's variational principle for this approximating sequence of control problems, in order to establish necessary conditions satisfied by a sequence of near optimal controls. Finally, we prove the convergence of the scheme, using Krylov's inequality in the nondegenerate case and the Bouleau–Hirsch flow property in the degenerate one. The adjoint process obtained is given by means of distributional derivatives of the coefficients
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 delicate estimates of the
state and adjoint processes. This result is a generalization of Zhou's
stochastic maximum principle for near-optimality to singular control problem.Comment: 19 pages, submitted to journa