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

DOI10.1080/17442508.2016.1220558MaRDI QIDQ2833721zbMATH OpenOpenAlexFDO

Authors 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

distributional derivativeforward-backward stochastic differential equationsimpulse controlmaximum principleoptimal control

Mathematics Subject Classification ID

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

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Cited in

(12)

• Maximum principle in nonsmooth problems of optimal control with discontinuous trajectories
• Maximum principle in nonsmooth problems of optimal impulse control with multi-point phase constraints
• Normality and nondegeneracy of the maximum principle in optimal impulsive control under state constraints
• Feedback maximum principle for a class of linear continuity equations inspired by optimal impulsive control
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• scientific article; zbMATH DE number 7038793 (Why is no real title available?)
• scientific article; zbMATH DE number 4111416 (Why is no real title available?)
• scientific article; zbMATH DE number 62572 (Why is no real title available?)
• A tutorial on the deterministic impulse control maximum principle: necessary and sufficient optimality conditions
• Maximum principle for stochastic recursive optimal control problems involving impulse controls
• Continuity of the value function for deterministic optimal impulse control with terminal state constraint
• Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls

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