Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls

DOI10.1002/rnc.6924OpenAlexW4385478500MaRDI QIDQ6197861

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Publication date: 20 March 2024

Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/rnc.6924

zbMATH Keywords

maximum principlestochastic controlimpulse controllinear-quadratic controlrisk-sensitiveforward-backward stochastic control system

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Impulsive control/observation systems (93C27)

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