Maximum Principle for Singular Stochastic Control Problems
نویسندگان
چکیده
In this paper, an optimal singular stochastic control problem is considered. For this model, it is obtained a general stochastic maximum principle by using a time transformation. This is the first version of the stochastic maximum principle that covers the singular control problem in the nonlinear case.
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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 45 شماره
صفحات -
تاریخ انتشار 2006