Maximum principle for optimal control problems involving impulse controls with nonsmooth data

DOI10.1080/17442508.2016.1220558zbMath1367.49020OpenAlexW2561183312MaRDI QIDQ2833721

Xinwei Feng

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1220558

zbMATH Keywords

optimal controlmaximum principleimpulse controlforward-backward stochastic differential equationsdistributional derivative

Mathematics Subject Classification ID

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

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Continuity of the value function for deterministic optimal impulse control with terminal state constraint

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