Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls

DOI10.1007/s11424-016-5039-yzbMath1370.93327OpenAlexW2564172699MaRDI QIDQ2400449

Zhen Wu, Shujun Wang

Publication date: 1 September 2017

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-016-5039-y

zbMATH Keywords

optimal controlmaximum principleimpulse controlsforward-backward stochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25)

Related Items

INFINITE HORIZON OPTIMAL CONTROL PROBLEMS OF BACKWARD STOCHASTIC DELAY DIFFERENTIAL EQUATIONS IN HILBERT SPACES, Forward-backward stochastic differential equation games with delay and noisy memory, A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games, Optimal control and stabilization for Itô systems with input delay, The delayed doubly stochastic linear quadratic optimal control problem

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