Maximum principles without differentiability
نویسندگان
چکیده
منابع مشابه
Filippov Approach in Stochastic Maximum Principle without Differentiability Assumptions
In this article, we establish necessary conditions for optimality in stochastic control of systems governed by stochastic differential equations with nonsmooth coefficients. The approach used is based on the approximation of the nonsmooth coefficient by smooth one which generate a sequence of smooth control problems. Ekeland’s variational principle is then applied to obtain a sequence of nearly...
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ژورنال
عنوان ژورنال: Bulletin of the American Mathematical Society
سال: 1975
ISSN: 0002-9904
DOI: 10.1090/s0002-9904-1975-13721-9