Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls
We consider a stochastic recursive optimal control problem in which the control variable has two components: the regular control and the impulse control. The control variable does not enter the diffusion coefficient, and the domain of the regular controls is not necessarily convex. We establish nece...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2012-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2012/709682 |
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| Summary: | We consider a stochastic recursive optimal control problem in which the control variable has two components: the regular control and the impulse control. The control variable does not enter the diffusion coefficient, and the domain of the regular controls is not necessarily convex. We establish necessary optimality conditions, of the Pontryagin maximum principle type, for this stochastic optimal control problem. Sufficient optimality conditions are also given. The optimal control is obtained for an example of linear quadratic optimization problem to illustrate the applications of the theoretical results. |
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| ISSN: | 1085-3375 1687-0409 |