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Seid Bahlali, Adel Chala

The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients

Keywords: maximum principle, singular control, Adjoint equation, variational equation

We consider a stochastic control problem of a non linear system in which the variable control has two components, the first being absolutely continuous and the second singular. We assume a convex state constraint, a non convex cost criterion and we allow the absolutely continuous component of the control to enter both the drift and diffusion coefficients. The maximum principle is established by using mainly a convex perturbation on a given optimal control. This result generalizes at the same time the result obtained by Cadellinas-Haussman as well as that obtained by Bensoussan.

Random Operators and Stochastic Equations, Walter de Gruyter

Print ISSN: 0926-6364
Volume: 13, 01/2005
Pages: 1 - 10

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