Name
Title | ||
|---|---|---|
The near-optimal maximum principle of impulse control for stochastic recursive system. |
Abstract | ||
|---|---|---|
Here, we discuss the near-optimality for a class of stochastic impulse control problems. The state process in our problem is given by forward-backward stochastic differential equations (FBSDEs) with two control components involved: the regular and impulse control. More specially, the impulse control is defined on a sequence of prescribed stopping times. A recursive cost functional is introduced and the maximum principle for its near-optimality (both necessary and sufficient conditions) is derived with the help of Ekeland’s principle and variational analysis. For illustration, one concrete example is studied with our maximum principle and the corresponding near-optimal control is characterized. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1007/s11432-015-0777-0 | SCIENCE CHINA Information Sciences |
Keywords | Field | DocType |
Ekeland’s principle, FBSDE, impulse control, maximum principle, near optimality, 近似最大值原理, 正倒向方程, 随机递归系统, 脉冲控制, 变分 原理 | Variational analysis,Mathematical optimization,Maximum principle,Mathematical analysis,Infinite impulse response,Impulse (physics),Stochastic differential equation,Mathematics,Recursion | Journal |
Volume | Issue | ISSN |
59 | 11 | 1869-1919 |
Citations | PageRank | References |
1 | 0.37 | 5 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jianhui Huang | 1 | 81 | 14.20 |
| Detao Zhang | 2 | 4 | 1.97 |