Antoine-Marie Bogso

Stochastic Optimal Control for Systems with Drifts of Bounded Variation: A Maximum Principle Approach

Abstract. We study a stochastic control problem for nonlinear systems governed by stochastic differential equations (SDEs) with irregular drift. The drift coefficient is assumed to decompose as [Formula: see text], where [Formula: see text] is bounded and Borel measurable, [Formu...