Singular Stochastic Maximum Principle
نویسندگان
چکیده
In this paper, an optimal singular stochastic control problem is considered. The state process is described by a non linear stochastic differential equation. The variation of the control variable is bounded. 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 nonlinear cases. Copyright c ©2005 IFAC.
منابع مشابه
Maximum Principle for Singular Stochastic Control Problems
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