A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems

DOI10.1002/asjc.1097zbMath1333.93267OpenAlexW2035037505MaRDI QIDQ2794008

Aimin Song, Yan Wang, En-Min Feng

Publication date: 17 March 2016

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.1097

zbMATH Keywords

maximum principleMalliavin calculusimpulse controlnon-Markovian systemforward-backward systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ Maximum principle via Malliavin calculus for regular-singular stochastic differential games ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty ⋮ Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory

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