The stochastic maximum principle for relaxed control problem with regime-switching

DOI10.1016/J.SYSCONLE.2022.105391zbMATHOpenAlexMaRDI QIDQ2107625FDO

Authors Yinggu Chen, Tianyang Nie, Zhen Wu

Publication date 2 December 2022

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2022.105391

zbMATH Keywords

Markov chainsstochastic maximum principlerelaxed control

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited in

(2)

• A general stochastic maximum principle for mean-field controls with regime switching
• A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization

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