Socgnia, Konlack and Menoukeu Pamen, Olivier
(2015)
An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients.
Journal of Mathematical Annalysis and Applications, 422 (1).
pp. 684-711.
Text
InfhormaxprincJMAA.pdf - Author Accepted Manuscript Download (231kB) |
Abstract
In the present work, a stochastic maximum principle for discounted control of a certain class of degenerate diffusion processes with global Lipschitz coefficient is investigated. The value function is given by a discounted performance functional, leading to a stochastic maximum principle of semi-couple forward–backward stochastic differential equation with non-smooth coefficients. The proof is based on the approximation of the Lipschitz coefficients by smooth ones and the approximation of the infinite horizon adjoint process.
Item Type: | Article |
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Additional Information: | ## TULIP Type: Articles/Papers (Journal) ## |
Uncontrolled Keywords: | Forward–backward stochastic differential equations, Degenerate diffusion, Stochastic maximum principle |
Depositing User: | Symplectic Admin |
Date Deposited: | 10 Dec 2018 10:34 |
Last Modified: | 19 Jan 2023 01:09 |
DOI: | 10.1016/j.jmaa.2014.09.010 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3029740 |