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Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls
Joint Authors
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-06-20
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Wu, Zhen& Zhang, Feng. 2012. Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls. Abstract and Applied Analysis،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-492374
Modern Language Association (MLA)
Wu, Zhen& Zhang, Feng. Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls. Abstract and Applied Analysis No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-492374
American Medical Association (AMA)
Wu, Zhen& Zhang, Feng. Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls. Abstract and Applied Analysis. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-492374
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-492374