Article Contents
Article Contents

A second-order maximum principle for singular optimal stochastic controls

• A singular optimal stochastic control problem is studied. A second-order maximum principle is presented. The second-order adjoint processes are involved, though the diffusion of the control system is control independent. The range theorem of vector-valued measures is used to prove the maximum principle. Examples are given to illustrate the applications.
Mathematics Subject Classification: Primary: 93E20; Secondary: 60H30, 60G35.

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