Abstract and Applied Analysis

Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls

Yan Wang, Aimin Song, and Enmin Feng

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Abstract

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.

Article information

Source
Abstr. Appl. Anal., Volume 2014, Special Issue (2013), Article ID 452124, 8 pages.

Dates
First available in Project Euclid: 6 October 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1412605890

Digital Object Identifier
doi:10.1155/2014/452124

Mathematical Reviews number (MathSciNet)
MR3198193

Zentralblatt MATH identifier
07022403

Citation

Wang, Yan; Song, Aimin; Feng, Enmin. Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls. Abstr. Appl. Anal. 2014, Special Issue (2013), Article ID 452124, 8 pages. doi:10.1155/2014/452124. https://projecteuclid.org/euclid.aaa/1412605890


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