Near-optimal control problems for forward-backward regime-switching systems

DOI10.1051/cocv/2020016zbMath1460.93110OpenAlexW3015720230MaRDI QIDQ5854386

Min Li, Zhen Wu

Publication date: 17 March 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2020016

zbMATH Keywords

necessary conditionssufficient conditionsEkeland's variational principleforward-backward stochastic differential equationregime-switchingnear-optimality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Continuous-time Markov processes on discrete state spaces (60J27)

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