A SECOND-ORDER MAXIMUM PRINCIPLE FOR SINGULAR OPTIMAL STOCHASTIC CONTROLS

被引：23
作者：
Tang, Shanjian [1 ,2 ]
机构：
[1] Fudan Univ, Sch Math Sci, Dept Finance & Control Sci, Shanghai 200433, Peoples R China
[2] Ajou Univ, Grad Dept Financial Engn, Suwon 443749, South Korea
来源：
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2010年 / 14卷 / 04期
关键词：
Singular optimal stochastic control; second-order maximum principle; spike variation; first and second adjoint processes; vector-valued measure theory; HIGH-ORDER;
D O I：
10.3934/dcdsb.2010.14.1581
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A singular optimal stochastic control problem is studied. A second-order maximum principle is presented. The second-order adjoint processes are involved, though the diffusion of the control system is control independent. The range theorem of vector-valued measures is used to prove the maximum principle. Examples are given to illustrate the applications.
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页码：1581 / 1599
页数：19
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