Maximum Principle for Optimal Control Problems of Forward-Backward Regime-Switching Systems Involving Impulse Controls
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-03-22
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
This paper is concerned with optimal control problems of forward-backward Markovian regime-switching systems involving impulse controls.
Here the Markov chains are continuous-time and finite-state.
We derive the stochastic maximum principle for this kind of systems.
Besides the Markov chains, the most distinguishing features of our problem are that the control variables consist of regular and impulsive controls, and that the domain of regular control is not necessarily convex.
We obtain the necessary and sufficient conditions for optimal controls.
Thereafter, we apply the theoretical results to a financial problem and getthe optimal consumption strategies.
American Psychological Association (APA)
Wang, Shujun& Wu, Zhen. 2015. Maximum Principle for Optimal Control Problems of Forward-Backward Regime-Switching Systems Involving Impulse Controls. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-13.
https://search.emarefa.net/detail/BIM-1074971
Modern Language Association (MLA)
Wang, Shujun& Wu, Zhen. Maximum Principle for Optimal Control Problems of Forward-Backward Regime-Switching Systems Involving Impulse Controls. Mathematical Problems in Engineering No. 2015 (2015), pp.1-13.
https://search.emarefa.net/detail/BIM-1074971
American Medical Association (AMA)
Wang, Shujun& Wu, Zhen. Maximum Principle for Optimal Control Problems of Forward-Backward Regime-Switching Systems Involving Impulse Controls. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-13.
https://search.emarefa.net/detail/BIM-1074971
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074971