On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls
Optimization and Control
2012-05-04 v1
Abstract
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on Ekeland's variational principle and some delicate estimates of the state and adjoint processes. This result is a generalization of Zhou's stochastic maximum principle for near-optimality to singular control problem.
Keywords
Cite
@article{arxiv.1110.5553,
title = {On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls},
author = {Mokhtar Hafayed and Syed Abbas and Petr Veverka},
journal= {arXiv preprint arXiv:1110.5553},
year = {2012}
}
Comments
19 pages, submitted to journal