Tid: 27 maj 2002 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Professor Brahim Mezerdi, Biskra University, Algeriet.
Titel: A maximum principle in relaxed stochastic control problems
Sammanfattning: Using Ekeland's variational principle and some stability properties of the corresponding state equation and adjoint processes, we establish necessary conditions for optimality satisfied by an optimal relaxed control of a stochastic differential equation of Itô type. This is the first version of the stochastic maximum principle that covers relaxed controls.