19 research outputs found
Local stability and parameter dependence of mild solutions for stochastic differential equations
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A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
No full textStochastic Maximum Principle
No full textInternational audienceThe stochastic maximum principle (SMP) gives some necessary conditions for optimality for a stochastic optimal control problem. We give a summary of well-known results concerning stochastic maximum principle in finite-dimensional state space as well as some recent developments in infinite-dimensional state space
Practical exponential stability in mean square of stochastic partial differential equations
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A general characterization of the stochastic optimal combined control of mean field stochastic systems with application
No full textIn this paper, a general characterization of the optimal stochastic combined control for mean-field jump-systems is derived by applying mixed convex-spike perturbation method. The diffusion coefficient depends on the continuous control variable and the coDepartment of Mathematics, Yasar University, University aven, Agaclı Yol No. 35-57, Izmir, Turkey; Laboratory of Applied Mathematics, Biskra University, PO. Box 145, Biskra, 07000, Algeri
