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

DOI10.1155/2015/892304zbMATH Open1394.49020OpenAlexW1969427673WikidataQ59119765 ScholiaQ59119765MaRDI QIDQ1666836FDOQ1666836

Authors: Shujun Wang, Zhen Wu 

Publication date: 27 August 2018

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

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

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Mathematics Subject Classification ID

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

Cites Work

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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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