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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| Format: | Article |
| Language: | English |
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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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| _version_ | 1849400361689808896 |
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| author | Zhen Wu Feng Zhang |
| author_facet | Zhen Wu Feng Zhang |
| author_sort | Zhen Wu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-88562bb907364ab5aa6627cd8fbfe4e2 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-88562bb907364ab5aa6627cd8fbfe4e22025-08-20T03:38:06ZengWileyAbstract and Applied Analysis1085-33751687-04092012-01-01201210.1155/2012/709682709682Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse ControlsZhen Wu0Feng Zhang1School of Mathematics, Shandong University, Jinan 250100, ChinaSchool of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250014, ChinaWe 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.http://dx.doi.org/10.1155/2012/709682 |
| spellingShingle | Zhen Wu Feng Zhang Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls Abstract and Applied Analysis |
| title | Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls |
| title_full | Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls |
| title_fullStr | Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls |
| title_full_unstemmed | Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls |
| title_short | Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls |
| title_sort | maximum principle for stochastic recursive optimal control problems involving impulse controls |
| url | http://dx.doi.org/10.1155/2012/709682 |
| work_keys_str_mv | AT zhenwu maximumprincipleforstochasticrecursiveoptimalcontrolproblemsinvolvingimpulsecontrols AT fengzhang maximumprincipleforstochasticrecursiveoptimalcontrolproblemsinvolvingimpulsecontrols |