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A General Stochastic Maximum Principle for Singular Control Problems

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	A General Stochastic Maximum Principle for Singular Control Problems
2.	Creator	Author's name, affiliation, country	Seid Bahlali; University Med Khider, Algeria
2.	Creator	Author's name, affiliation, country	Brahim Mezerdi; University Med Khider, Algeria
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	Abstract	We consider the stochastic control problem in which the control domain need not be convex, the control variable has two components, the first being absolutely continuous and the second singular. The coefficients of the state equation are non linear and depend explicitly on the absolutely continuous component of the control. We establish a maximum principle, by using a spike variation on the absolutely continuous part of the control and a convex perturbation on the singular one. This result is a generalization of Peng's maximum principle to singular control problems.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2005-07-21
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/271
10.	Identifier	Digital Object Identifier	10.1214/EJP.v10-271
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 10
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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