Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems

DOI10.1007/s11424-013-0287-6zbMath1294.93086OpenAlexW2144187002MaRDI QIDQ741854

Feng Zhang

Publication date: 15 September 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-013-0287-6

zbMATH Keywords

maximum principlesingular controlrelaxed controlforward-backward system

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 (7)

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ On existence and uniqueness of random impulsive differential equations ⋮ Maximum principle via Malliavin calculus for regular-singular stochastic differential games ⋮ Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures ⋮ Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty

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