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Journal of Systems Science and Complexity

, Volume 26, Issue 6, pp 886–901 | Cite as

Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems

  • Feng ZhangEmail author
Article

Abstract

This paper considers a stochastic optimal control problem of a forward-backward system with regular-singular controls where the set of regular controls is not necessarily convex and the regular control enters the diffusion coefficient. This control problem is difficult to solve with the classical method of spike variation. The authors use the approach of relaxed controls to establish maximum principle for this stochastic optimal control problem. Sufficient optimality conditions are also investigated.

Keywords

Forward-backward system maximum principle relaxed control singular control 

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Copyright information

© Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.School of Mathematics and Quantitative EconomicsShandong University of Finance and EconomicsJinanChina

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