Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

DOI10.1109/TAC.2011.2114990zbMath1368.93793MaRDI QIDQ5347743

Feng Zhang, Zhen Wu

Publication date: 25 August 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

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 (15)

Hybrid optimal impulse control ⋮ Maximum principle for stochastic optimal control problem with distributed delays ⋮ Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls ⋮ The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls ⋮ Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls ⋮ The general maximum principle for stochastic control problems with singular controls ⋮ Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls ⋮ Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ Recursive StochasticH₂/H_∞Control Problem for Delay Systems Involving Continuous and Impulse Controls ⋮ Maximum principle for stochastic recursive optimal control problems involving impulse controls ⋮ Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls ⋮ Variable Time Impulse System Optimization with Continuous Control and Impulse Control ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

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