An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients

作者：Socgnia Virginie Konlack; Menoukeu Pamen Olivier^*

来源：Journal of Mathematical Analysis and Applications, 2015, 422(1): 684-711.

DOI：10.1016/j.jmaa.2014.09.010

• Forward-backward stochastic differential equations
• Degenerate diffusion
• Stochastic maximum principle

In the present work, a stochastic maximum principle for discounted control of a certain class of degenerate diffusion processes with global Lipschitz coefficient is investigated. The value function is given by a discounted performance functional, leading to a stochastic maximum principle of semi-couple forward backward stochastic differential equation with non-smooth coefficients. The proof is based on the approximation of the Lipschitz coefficients by smooth ones and the approximation of the infinite horizon adjoint process.

• 出版日期2015-2-1