On necessary and sufficient conditions for near-optimal singular stochastic controls
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F13%3A00199022" target="_blank" >RIV/68407700:21340/13:00199022 - isvavai.cz</a>
Result on the web
<a href="http://link.springer.com/article/10.1007/s11590-012-0484-6" target="_blank" >http://link.springer.com/article/10.1007/s11590-012-0484-6</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11590-012-0484-6" target="_blank" >10.1007/s11590-012-0484-6</a>
Alternative languages
Result language
angličtina
Original language name
On necessary and sufficient conditions for near-optimal singular stochastic controls
Original language description
In this paper we discuss the necessary and sufficient conditions for near-optimal singular stochastic controls for the systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on Ekeland's variational principle and some delicate estimates of the state and adjoint processes. It is well known that optimal singular controls may fail to exist even in simple cases. This justifies the use of near-optimal singular controls, which exist under minimal conditions and are sufficient in most practical cases. Moreover, since there are many near-optimal singular controls, it is possible to choose suitable ones, that are convenient for implementation. This result is a generalization of Zhou's stochastic maximumprinciple for near-optimality to singular control problem.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/LG12020" target="_blank" >LG12020: Advanced statistical analysis and non-statistical separation techniques for physical processing detection in data sets sampled by means of elementary particle accelerators.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Optimization Letters
ISSN
1862-4472
e-ISSN
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Volume of the periodical
5
Issue of the periodical within the volume
7
Country of publishing house
DE - GERMANY
Number of pages
18
Pages from-to
949-966
UT code for WoS article
000319475200009
EID of the result in the Scopus database
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