English

A general stochastic maximum principle for mixed relaxed-singular control problems

Probability 2008-08-28 v4 Optimization and Control

Abstract

We consider in this paper, mixed relaxed-singular stochastic control problems, where the control variable has two components, the first being measure-valued and the second singular. The control domain is not necessarily convex and the system is governed by a nonlinear stochastic differential equation, in which the measure-valued part of the control enters both the drift and the diffusion coefficients. We establish necessary optimality conditions, of the Pontryagin maximum principle type, satisfied by an optimal relaxed-singular control, which exist under general conditions on the coefficients. The proof is based on the strict singular stochastic maximum principle established by Bahlali-Mezerdi, Ekeland's variational principle and some stability properties of the trajectories and adjoint processes with respect to the control variable.

Keywords

Cite

@article{arxiv.0801.4669,
  title  = {A general stochastic maximum principle for mixed relaxed-singular control problems},
  author = {Seid Bahlali},
  journal= {arXiv preprint arXiv:0801.4669},
  year   = {2008}
}

Comments

Submitted to Journal of Applied Mathematics and Stochastic Analysis

R2 v1 2026-06-21T10:07:52.108Z