The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps

DOI10.1137/19M1292308zbMath1447.93378arXiv1904.00636OpenAlexW3045733734MaRDI QIDQ3300845

Zhen Wu, Shanjian Tang, Yuanzhuo Song

Publication date: 30 July 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.00636

zbMATH Keywords

maximum principleadjoint equationrandom jumpsspike variation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching ⋮ The maximum principle for stochastic control problem with Markov chain in progressive structure ⋮ Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps ⋮ Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System ⋮ The maximum principle for stochastic control problem with jumps in progressive structure ⋮ A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps

Cites Work

• Backward stochastic differential equations and applications to optimal control
• A General Stochastic Maximum Principle for Optimal Control Problems
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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