Filippov approach in stochastic maximum principle without differentiability assumptions
In this article, we establish necessary conditions for optimality in stochastic control of systems governed by stochastic differential equations with nonsmooth coefficients. The approach used is based on the approximation of the nonsmooth coefficient by smooth one which generate a sequence of sm...
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| Format: | Article |
| Language: | English |
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Texas State University
2010-07-01
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| Series: | Electronic Journal of Differential Equations |
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| Online Access: | http://ejde.math.txstate.edu/Volumes/2010/97/abstr.html |