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Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls
Joint Authors
Feng, Enmin
Song, Aimin
Wang, Yan
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-15
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
We study the partial information classical and impulse controls problem of forward-backward systems driven by Lévy processes, where the control variable consists of two components: the classical stochastic control and the impulse control; the information available to the controller is possibly less than the full information, that is, partial information.
We derive a maximum principle to give the sufficient and necessary optimality conditions for the local critical points of the classical and impulse controls problem.
As an application, we apply the maximum principle to a portfolio optimization problem with piecewise consumption processes and give its explicit solutions.
American Psychological Association (APA)
Wang, Yan& Song, Aimin& Feng, Enmin. 2014. Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-1013947
Modern Language Association (MLA)
Wang, Yan…[et al.]. Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls. Abstract and Applied Analysis No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-1013947
American Medical Association (AMA)
Wang, Yan& Song, Aimin& Feng, Enmin. Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-1013947
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013947