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

DOI10.1016/J.SYSCONLE.2022.105391zbMATH Open1505.93282OpenAlexW4304820673MaRDI QIDQ2107625FDOQ2107625

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

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

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