Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching

DOI10.1002/OCA.2160zbMATH Open1333.93261OpenAlexW1583563890MaRDI QIDQ2800474FDOQ2800474

Authors: Siyu Lv, Ran Tao, Zhen Wu 

Publication date: 15 April 2016

Published in: Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2160

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zbMATH Keywords

Markov chainregime switchingmaximum principleanticipated backward stochastic differential equationstochastic differential equation with delayforward-backward stochastic system

Mathematics Subject Classification ID

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

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Cited In (18)

• Dynamic optimization with a non-smooth LPV system in aero-engine transition state acceleration process
• Maximum principle of recursive optimal control problem for forward-backward stochastic delayed system with Poisson jumps
• Fluid approximations and control of queues in emergency departments
• Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
• Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
• The stochastic maximum principle for relaxed control problem with regime-switching
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• Stochastic maximum principle for optimal control of forward-backward stochastic pantograph systems with regime switching
• Optimal control of aero-engine systems based on a switched LPV model
• An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• Long term optimal investment with regime switching: inflation, information and short sales
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• The delayed doubly stochastic linear quadratic optimal control problem
• Optimal control of nonzero sum game mean‐field delayed Markov regime‐switching forward‐backward system with Lévy processes
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
• Almost automorphic solutions for fractional stochastic differential equations and its optimal control
• Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes

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