A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint

Jianhui Huang; Haiyang Wang; Zhen Wu

doi:10.1016/j.sysconle.2018.02.005

A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint

Jianhui Huang
, Haiyang Wang
, Zhen Wu

Research output: Journal article publication › Journal article › Academic research › peer-review

3 Citations (Scopus)

Abstract

In this paper, we study a kind of recursive optimal control problem whose utility functional is described by the solution of a reflected backward stochastic differential equation (BSDE). We obtain a sufficient stochastic maximum principle of optimal controls. Moreover, a mixed optimal control problem is considered to illustrate the application of our theoretical result and the optimal control and stopping strategy are given.

Original language	English
Pages (from-to)	27-30
Number of pages	4
Journal	Systems and Control Letters
Volume	114
DOIs	https://doi.org/10.1016/j.sysconle.2018.02.005
Publication status	Published - 1 Apr 2018

Keywords

Clarke's generalized gradient
Maximum principle
Mixed control problems
Recursive optimal control problems
Reflected backward stochastic differential equations

ASJC Scopus subject areas

Control and Systems Engineering
General Computer Science
Mechanical Engineering
Electrical and Electronic Engineering

More information

10.1016/j.sysconle.2018.02.005

Cite this

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abstract = "In this paper, we study a kind of recursive optimal control problem whose utility functional is described by the solution of a reflected backward stochastic differential equation (BSDE). We obtain a sufficient stochastic maximum principle of optimal controls. Moreover, a mixed optimal control problem is considered to illustrate the application of our theoretical result and the optimal control and stopping strategy are given.",

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AU - Huang, Jianhui

AU - Wang, Haiyang

AU - Wu, Zhen

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N2 - In this paper, we study a kind of recursive optimal control problem whose utility functional is described by the solution of a reflected backward stochastic differential equation (BSDE). We obtain a sufficient stochastic maximum principle of optimal controls. Moreover, a mixed optimal control problem is considered to illustrate the application of our theoretical result and the optimal control and stopping strategy are given.

AB - In this paper, we study a kind of recursive optimal control problem whose utility functional is described by the solution of a reflected backward stochastic differential equation (BSDE). We obtain a sufficient stochastic maximum principle of optimal controls. Moreover, a mixed optimal control problem is considered to illustrate the application of our theoretical result and the optimal control and stopping strategy are given.

KW - Clarke's generalized gradient

KW - Maximum principle

KW - Mixed control problems

KW - Recursive optimal control problems

KW - Reflected backward stochastic differential equations

UR - https://www.scopus.com/pages/publications/85042907731

U2 - 10.1016/j.sysconle.2018.02.005

DO - 10.1016/j.sysconle.2018.02.005

M3 - Journal article

SN - 0167-6911

VL - 114

SP - 27

EP - 30

JO - Systems and Control Letters

JF - Systems and Control Letters

ER -

A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint

Abstract

Keywords

ASJC Scopus subject areas

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