Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems |
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Authors: | Feng Zhang |
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Institution: | 1. School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan, 250014, China
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Abstract: | This paper considers a stochastic optimal control problem of a forward-backward system with regular-singular controls where the set of regular controls is not necessarily convex and the regular control enters the diffusion coefficient. This control problem is difficult to solve with the classical method of spike variation. The authors use the approach of relaxed controls to establish maximum principle for this stochastic optimal control problem. Sufficient optimality conditions are also investigated. |
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Keywords: | Forward-backward system maximum principle relaxed control singular control |
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