Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls

DOI10.1155/2015/892304zbMath1394.49020OpenAlexW1969427673WikidataQ59119765 ScholiaQ59119765MaRDI QIDQ1666836

Shujun Wang, Zhen Wu

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/892304

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving relations other than differential equations (49K21)

Related Items (4)

Stochastic linear quadratic control problem of switching systems with constraints ⋮ Simultaneous impulse and continuous control of a Markov chain in continuous time ⋮ Long term optimal investment with regime switching: inflation, information and short sales ⋮ Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications
• Maximum principle for stochastic recursive optimal control problems involving impulse controls
• A general maximum principle for optimal control of forward-backward stochastic systems
• Adapted solution of a backward stochastic differential equation
• Sufficient stochastic maximum principle in a regime-switching diffusion model
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Some applications of impulse control in mathematical finance
• BSDEs with regime switching: weak convergence and applications
• Backward stochastic differential equations and applications to optimal control
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• About the Pricing Equations in Finance
• A General Stochastic Maximum Principle for Optimal Control Problems
• Stochastic Differential Utility
• An Introductory Approach to Duality in Optimal Stochastic Control
• Impulse Control Method and Exchange Rate
• Backward Stochastic Differential Equations in Finance
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Stochastic maximum principle for optimal control problem of forward and backward system
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
• A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications
• Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls
• Portfolio Selection with Transaction Costs

This page was built for publication: Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls