A General Stochastic Maximum Principle for Singular Control Problems
Author:
Affiliation:
1. University Med Khider, Algeria
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://projecteuclid.org/download/pdf_1/euclid.ejp/1464816831
Cited by 24 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. The general maximum principle for stochastic control problems with singular controls;Discrete and Continuous Dynamical Systems;2022
2. On optimal solutions of general continuous‐singular stochastic control problem of McKean‐Vlasov type;Mathematical Methods in the Applied Sciences;2020-04-16
3. The stochastic maximum principle in singular optimal control with recursive utilities;Journal of Mathematical Analysis and Applications;2019-03
4. Necessary stochastic maximum principle for dissipative systems on infinite time horizon;ESAIM: Control, Optimisation and Calculus of Variations;2016-12-13
5. A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus;Afrika Matematika;2015-05-24
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