Article2011

Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

40 citations0/0 files storedIEEE Transactions on Automatic Control

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

Abstract

We consider a stochastic optimal control problem of a forward-backward system in which the control variable consists of two components: the continuous control and the impulse control. The domain of the control is assumed to be convex. Necessary optimality conditions of the Pontryagin maximum principle type are obtained for this stochastic optimal control problem. We also give additional conditions, under which the necessary optimality conditions turn out to be sufficient.

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1997Stochastic differential equations and their applications 1990Portfolio Selection with Transaction Costs 1992Stochastic Differential Utility 1990A General Stochastic Maximum Principle for Optimal Control Problems 1978An Introductory Approach to Duality in Optimal Stochastic Control

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2012Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

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