A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching*

被引：3
|
作者：
Song, Yuanzhuo
Wu, Zhen [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan, Peoples R China
来源：
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS | 2022年 / 28卷
关键词：
The maximum principle; Markov chain; regime-switching; spike variation; JUMP-DIFFUSION MODEL;
D O I：
10.1051/cocv/2022054
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we give a general maximum principle for optimal controls of stochastic systems driven by Markov chains. The control is allowed to enter both diffusion and jump terms and the control domain is not necessarily convex. We apply a new spike variation and the stochastic integral of progressive processes to obtain the main result.
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页数：19
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