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On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control

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https://hal-univ-tln.archives-ouvertes.fr/hal-01293278
Contributor : Claire Remond <>
Submitted on : Thursday, March 24, 2016 - 2:41:18 PM
Last modification on : Monday, May 31, 2021 - 11:14:08 PM

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Khaled Bahlali, Farid Chighoub, Brahim Mezerdi. On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control. Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2012, 84 (2-3), pp.233--249. ⟨hal-01293278⟩

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