A General Stochastic Maximum Principle for Singular Control Problems

Seid Bahlali (University Med Khider, Algeria)
Brahim Mezerdi (University Med Khider, Algeria)

Abstract


We consider the stochastic control problem in which the control domain need not be convex, the control variable has two components, the first being absolutely continuous and the second singular. The coefficients of the state equation are non linear and depend explicitly on the absolutely continuous component of the control. We establish a maximum principle, by using a spike variation on the absolutely continuous part of the control and a convex perturbation on the singular one. This result is a generalization of Peng's maximum principle to singular control problems.

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Pages: 988-1004

Publication Date: July 21, 2005

DOI: 10.1214/EJP.v10-271

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