Singular Stochastic Maximum Principle

Authors:	Dufour Francois, Universite Bordeaux 1, France, Metropolitan Miller Boris, Institute for Information Transmission Problems, Russian Federation
Topic:	2.4 Optimal Control
Session:	Stochastic Optimal Control
Keywords:	Stochastic control, Optimal control, Maximum principle

Abstract

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.