Approximation and optimality necessary conditions in relaxed stochastic control problems

Seïd Bahlali, Brahim Mezerdi, Boualem Djehiche

Research output: Contribution to journalArticlepeer-review


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 Pontriagin type, extending the well-known Peng stochastic maximum principle to the class of measure-valued controls.

Original languageEnglish (US)
Article number72762
JournalJournal of Applied Mathematics and Stochastic Analysis
StatePublished - 2006

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics


Dive into the research topics of 'Approximation and optimality necessary conditions in relaxed stochastic control problems'. Together they form a unique fingerprint.

Cite this