On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls

Details On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls

2011-10-25

arxiv.org/abs/1110.5553v1

Mathematics

Optimization and Control

19 pages, submitted to journal

Scientific paper

This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for 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. This result is a generalization of Zhou's stochastic maximum principle for near-optimality to singular control problem.

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