The stochastic maximum principle for relaxed control problem with regime-switching

被引：2
|
作者：
Chen, Yinggu [1 ]
Nie, Tianyang [1 ]
Wu, Zhen [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
来源：
SYSTEMS & CONTROL LETTERS | 2022年 / 169卷
基金：
中国国家自然科学基金;
关键词：
Stochastic maximum principle; Markov chains; Relaxed control; DIFFERENTIAL-EQUATIONS; EXISTENCE; BSDES;
D O I：
10.1016/j.sysconle.2022.105391
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study a stochastic relaxed control problem with regime-switching, in which the control enters both the drift and the diffusion coefficients. The goal is to establish the stochastic maximum principle and verification theorem for this problem with the convex variational method. A backward stochastic differential equation (BSDE) with regime-switching is given as the adjoint equation whose martingale terms are generated by both the Brownian motion and the Markov chain. A linear quadratic example in relaxed formulation is also solved explicitly.(c) 2022 Elsevier B.V. All rights reserved.
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页数：11
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