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Title: On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients

Abstract

We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space.

Authors:
 [1];  [2];  [3]
  1. UTV, UFR Sciences (France)
  2. Royal Institute of Technology, Division of Mathematical Statistics, Department of Mathematics (Sweden)
  3. University of Biskra, Laboratory of Applied Mathematics (Algeria)
Publication Date:
OSTI Identifier:
21064180
Resource Type:
Journal Article
Journal Name:
Applied Mathematics and Optimization
Additional Journal Information:
Journal Volume: 56; Journal Issue: 3; Other Information: DOI: 10.1007/s00245-007-9017-6; Copyright (c) 2007 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); Journal ID: ISSN 0095-4616
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; CONTROL THEORY; DIFFUSION; MATHEMATICAL SPACE; OPTIMAL CONTROL; PROBABILITY; STOCHASTIC PROCESSES

Citation Formats

Bahlali, Khaled, Djehiche, Boualem, and Mezerdi, Brahim. On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients. United States: N. p., 2007. Web. doi:10.1007/S00245-007-9017-6.
Bahlali, Khaled, Djehiche, Boualem, & Mezerdi, Brahim. On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients. United States. https://doi.org/10.1007/S00245-007-9017-6
Bahlali, Khaled, Djehiche, Boualem, and Mezerdi, Brahim. 2007. "On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients". United States. https://doi.org/10.1007/S00245-007-9017-6.
@article{osti_21064180,
title = {On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients},
author = {Bahlali, Khaled and Djehiche, Boualem and Mezerdi, Brahim},
abstractNote = {We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space.},
doi = {10.1007/S00245-007-9017-6},
url = {https://www.osti.gov/biblio/21064180}, journal = {Applied Mathematics and Optimization},
issn = {0095-4616},
number = 3,
volume = 56,
place = {United States},
year = {Sat Dec 15 00:00:00 EST 2007},
month = {Sat Dec 15 00:00:00 EST 2007}
}