Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls
We study the partial information classical and impulse controls problem of forward-backward systems driven by Lévy processes, where the control variable consists of two components: the classical stochastic control and the impulse control; the information available to the controller is possibly less...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/452124 |
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| _version_ | 1832549891740532736 |
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| author | Yan Wang Aimin Song Enmin Feng |
| author_facet | Yan Wang Aimin Song Enmin Feng |
| author_sort | Yan Wang |
| collection | DOAJ |
| description | We study the partial information classical and impulse controls problem of forward-backward systems driven by Lévy processes, where the control variable consists of two components: the classical stochastic control and the impulse control; the information available to the controller is possibly less than the full information, that is, partial information. We derive a maximum principle to give the sufficient and necessary optimality conditions for the local critical points of the classical and impulse controls problem. As an application, we apply the maximum principle to a portfolio optimization problem with piecewise consumption processes and give its explicit solutions. |
| format | Article |
| id | doaj-art-d99e37dc47784ed4811e4d175004e26f |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-d99e37dc47784ed4811e4d175004e26f2025-02-03T06:08:17ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/452124452124Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse ControlsYan Wang0Aimin Song1Enmin Feng2School of Science, Dalian Jiaotong University, Dalian 116028, ChinaSchool of Science, Dalian Jiaotong University, Dalian 116028, ChinaSchool of Mathematical Sciences, Dalian University of Technology, Dalian 116023, ChinaWe study the partial information classical and impulse controls problem of forward-backward systems driven by Lévy processes, where the control variable consists of two components: the classical stochastic control and the impulse control; the information available to the controller is possibly less than the full information, that is, partial information. We derive a maximum principle to give the sufficient and necessary optimality conditions for the local critical points of the classical and impulse controls problem. As an application, we apply the maximum principle to a portfolio optimization problem with piecewise consumption processes and give its explicit solutions.http://dx.doi.org/10.1155/2014/452124 |
| spellingShingle | Yan Wang Aimin Song Enmin Feng Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls Abstract and Applied Analysis |
| title | Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls |
| title_full | Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls |
| title_fullStr | Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls |
| title_full_unstemmed | Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls |
| title_short | Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls |
| title_sort | stochastic maximum principle for partial information optimal control problem of forward backward systems involving classical and impulse controls |
| url | http://dx.doi.org/10.1155/2014/452124 |
| work_keys_str_mv | AT yanwang stochasticmaximumprincipleforpartialinformationoptimalcontrolproblemofforwardbackwardsystemsinvolvingclassicalandimpulsecontrols AT aiminsong stochasticmaximumprincipleforpartialinformationoptimalcontrolproblemofforwardbackwardsystemsinvolvingclassicalandimpulsecontrols AT enminfeng stochasticmaximumprincipleforpartialinformationoptimalcontrolproblemofforwardbackwardsystemsinvolvingclassicalandimpulsecontrols |