A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward‐backward systems. Issue 5 (1st February 2015)

• Record Type: Journal Article
• Authors: Wang, Yan; Song, Aimin; Feng, Enmin
• Is Part Of: Asian journal of control. Volume 17:Issue 5(2015:Sep.)
• Page Start: 1798
• Page End: 1809
• Publication Date: 2015-02-01
• Subjects: Automatic control -- Periodicals; Control theory -- Periodicals; 629.805
• DOI: 10.1002/asjc.1097
• Languages: English
• ISSNs: 1561-8625

Abstract

<abstract abstract-type="main" id="asjc1097-abs-0001"> <title>Abstract</title> <p id="asjc1097-para-0004">We consider a combined stochastic control and impulse control problem of forward‐backward systems driven by Lévy processes, where both the system coefficients and the objective performance functional are allowed to be random, non‐Markovian; the information available to the controller is partial information. Applying a Malliavin calculus approach, we derive a maximum principle for this control problem, where the adjoint processes are explicitly represented by the parameters and the states of the system. Finally, we give two examples of applications. © 2015 Chinese Automatic Control Society and Wiley Publishing Asia Pty Ltd</p> </abstract>