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Approximation and optimality necessary conditions in relaxed stochastic control problems. (English) Zbl 1119.49027

Summary: We consider a control problem where the state variable is a solution of a stochastic differential equation (SDE) in which the control enters both the drift and the diffusion coefficient. We study the relaxed problem for which admissible controls are measure-valued processes and the state variable is governed by an SDE driven by an orthogonal martingale measure. Under some mild conditions on the coefficients and pathwise uniqueness, we prove that every diffusion process associated to a relaxed control is a strong limit of a sequence of diffusion processes associated to strict controls. As a consequence, we show that the strict and the relaxed control problems have the same value function and that an optimal relaxed control exists. Moreover we derive a maximum principle of the Pontryagin type, extending the well-known Peng stochastic maximum principle to the class of measure-valued controls.

MSC:

49K45 Optimality conditions for problems involving randomness
93E20 Optimal stochastic control
93C15 Control/observation systems governed by ordinary differential equations
93C10 Nonlinear systems in control theory
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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References:

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