This paper is concerned with the optimal control problems of forward-backward delay systems involving impulse controls. The authors establish a stochastic maximum principle for this kind of systems. The most distingui...This paper is concerned with the optimal control problems of forward-backward delay systems involving impulse controls. The authors establish a stochastic maximum principle for this kind of systems. The most distinguishing features of the proposed problem are that the control variables consist of regular and impulsive controls, both with time delay, and that the domain of regular control is not necessarily convex. The authors obtain the necessary and sufficient conditions for optimal controls,which have potential applications in mathematical finance.展开更多
基金supported by the Natural Science Foundation of China under Grant No.61573217,111 Project(B12023)the National High-Level Personnel of Special Support Programthe Chang Jiang Scholar Program of Chinese Education Ministry
文摘This paper is concerned with the optimal control problems of forward-backward delay systems involving impulse controls. The authors establish a stochastic maximum principle for this kind of systems. The most distinguishing features of the proposed problem are that the control variables consist of regular and impulsive controls, both with time delay, and that the domain of regular control is not necessarily convex. The authors obtain the necessary and sufficient conditions for optimal controls,which have potential applications in mathematical finance.
