IDEAS home Printed from https://ideas.repec.org/a/hin/jnlaaa/709682.html
   My bibliography  Save this article

Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls

Author

Listed:
  • Zhen Wu
  • Feng Zhang

Abstract

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.

Suggested Citation

  • Zhen Wu & Feng Zhang, 2012. "Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls," Abstract and Applied Analysis, Hindawi, vol. 2012, pages 1-16, June.
    • Handle: RePEc:hin:jnlaaa:709682
    DOI: 10.1155/2012/709682
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/AAA/2012/709682.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/AAA/2012/709682.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2012/709682?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlaaa:709682. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.