Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Pantograph Systems with Regime Switching
Year: 2016
Author: Dianguo Shao
Communications in Mathematical Research , Vol. 32 (2016), Iss. 3 : pp. 217–228
Abstract
In this paper, we derive the stochastic maximum principle for optimal control problems of the forward-backward Markovian regime-switching system. The control system is described by an anticipated forward-backward stochastic pantograph equation and modulated by a continuous-time finite-state Markov chain. By virtue of classical variational approach, duality method, and convex analysis, we obtain a stochastic maximum principle for the optimal control.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.13447/j.1674-5647.2016.03.04
Communications in Mathematical Research , Vol. 32 (2016), Iss. 3 : pp. 217–228
Published online: 2016-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 12
Keywords: stochastic control stochastic maximum principle anticipated forward-backward stochastic pantograph equation variational approach regime switching Markov chain.