An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients



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). 684 - 711.

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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
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: 16 Apr 2021 11:42
DOI: 10.1016/j.jmaa.2014.09.010
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3029740