A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s13370-015-0351-6.pdf
Reference31 articles.
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4. Bahlali, K., Chighoub, F., Djehiche, B., Mezerdi, B.: Optimality necessary conditions in singular stochastic control problems with non smooth data. J. Math. Anal. Appl. 355, 479–494 (2009)
5. Bahlali, K., Chighoub, F., Mezerdi, B.: On the relationship between the maximum principle and dynamic programming in singular stochastic control. Stoch. Int. J. Prob. Stoch. Proc 84(2–3), 233–249 (2012)
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