Maximum principle for optimal control problems of forward-backward regime-switching system and applications

DOI10.1016/J.SYSCONLE.2012.06.006zbMATH Open1271.49018OpenAlexW2009782783MaRDI QIDQ360666FDOQ360666

Zhen Wu, Ran Tao

Publication date: 27 August 2013

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0167691112001223

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zbMATH Keywords

Markov chainsmaximum principleforward-backward stochastic differential equationsregime-switching system

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

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Cited In (22)

• Fully coupled forward-backward stochastic differential equations on Markov chains
• The stochastic maximum principle for relaxed control problem with regime-switching
• Near-optimal control problems for forward-backward regime-switching systems
• Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
• A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
• Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
• Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
• Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
• Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
• Stochastic maximum principle for recursive optimal control problems with varying terminal time
• Long term optimal investment with regime switching: inflation, information and short sales
• A penalty function-based random search algorithm for optimal control of switched systems with stochastic constraints and its application in automobile test-driving with gear shifts
• BSDEs with regime switching: weak convergence and applications
• Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
• Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model
• Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
• Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models

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