On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients

被引：0
|
作者：
Khaled Bahlali
Boualem Djehiche
Brahim Mezerdi
机构：
[1] UTV,UFR Sciences
[2] Royal Institute of Technology,Division of Mathematical Statistics, Department of Mathematics
[3] University of Biskra,Laboratory of Applied Mathematics
[4] CNRS Luminy,CPT
来源：
Applied Mathematics and Optimization | 2007年 / 56卷
关键词：
Stochastic differential equation; Optimal control; Stochastic maximum principle; Degenerate diffusion;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：364 / 378
页数：14
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