an:04062979
Zbl 0651.93077
Mezerdi, Brahim
Necessary conditions for optimality for a diffusion with a non-smooth drift
EN
Stochastics 24, No. 4, 305-326 (1988).
00168605
1988
j
93E20 49K45 60J60 60H10 93C10
maximum principle; stochastic control problem; non-smooth drift; adjoint process
A maximum principle for a stochastic control problem \(dx_ t=f(t,x_ t,u_ t)dt+\sigma (t,x_ t)dB_ t\), \(x(0)=x\), \(J(u)=E_ x[g(x_ T)]\), with non-smooth drift is established by approximating this problem by differentiable problems. In this way Kushner's maximum principle is generalized and the adjoint process is characterized.
M.Kohlmann