Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls

DOI10.1155/2015/892304MaRDI QIDQ1666836zbMATH OpenOpenAlexWikidataFDO

Authors Shujun Wang, Zhen Wu

Publication date 27 August 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/892304

Mathematics Subject Classification ID

Optimality conditions for problems involving relations other than differential equations (49K21) Optimal stochastic control (93E20)

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Cited in

(8)

• Stochastic linear quadratic control problem of switching systems with constraints
• Simultaneous impulse and continuous control of a Markov chain in continuous time
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• Stochastic maximum principle for optimal control of forward-backward stochastic pantograph systems with regime switching
• Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
• Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
• Long term optimal investment with regime switching: inflation, information and short sales
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications

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