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Stochastics Volume 24, 1988 - Issue 4
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Original Articles

Necessary conditions for optimality for a diffusion with a non-smooth drift

Mezerdi Brahim Department of Electrical Engineering, Imperial College, Exhibition Road, London, SW7 ZBT, UK
Pages 305-326 | Published online: 04 Apr 2007

Citations (12)

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Read on this site (4)

Xinwei Feng. (2016) Maximum principle for optimal control problems involving impulse controls with nonsmooth data. Stochastics 88:8, pages 1188-1206.
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Brahim Mezerdi & Seid Bahlali. (2002) Necessary conditions for optimality in relaxed stochastic control problems. Stochastics and Stochastic Reports 73:3-4, pages 201-218.
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Khaled Bahlali, Brahim Mezerdi & Youssef Ouknine. (1996) The maximum principle for optimal control of diffusions with non-smooth coefficients. Stochastics and Stochastic Reports 57:3-4, pages 303-316.
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T. E. Govindan & M. C. Joshi. (1992) Stability and Optimal Control of Stochastic Functional-Differential Equations With Memory. Numerical Functional Analysis and Optimization 13:3-4, pages 249-265.
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Articles from other publishers (8)

Olivier Menoukeu-Pamen & Ludovic Tangpi. (2023) Maximum Principle for Stochastic Control of SDEs with Measurable Drifts. Journal of Optimization Theory and Applications 197:3, pages 1195-1228.
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Nabil Khelfallah & Brahim Mezerdi. (2015) Near-optimality conditions in stochastic control of linear fully coupled FBSDEs. Afrika Matematika 27:3-4, pages 327-343.
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Virginie Konlack Socgnia & Olivier Menoukeu-Pamen. (2015) An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients. Journal of Mathematical Analysis and Applications 422:1, pages 684-711.
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Farid Chighoub & Brahim Mezerdi. (2011) Near optimality conditions in stochastic control of jump diffusion processes. Systems & Control Letters 60:11, pages 907-916.
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Khaled Bahlali, Nabil Khelfallah & Brahim Mezerdi. (2009) Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs. Systems & Control Letters 58:12, pages 857-864.
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K. Bahlali, F. Chighoub, B. Djehiche & B. Mezerdi. (2009) Optimality necessary conditions in singular stochastic control problems with nonsmooth data. Journal of Mathematical Analysis and Applications 355:2, pages 479-494.
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Farid Chighoub, Boualem Djehiche & Brahim Mezerdi. (2009) The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients. Random Operators and Stochastic Equations 17:1.
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Khaled Bahlali, Boualem Djehiche & Brahim Mezerdi. (2007) On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients. Applied Mathematics and Optimization 56:3, pages 364-378.
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