The stochastic maximum principle in singular optimal control with recursive utilities

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:471

Article

Ji, Shaolin^1,2  Xue, Xiaole¹ 

[1] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China

[2] Shandong Univ, Inst Math, Jinan 250100, Shandong, Peoples R China

关键词: Backward stochastic differential equations;    Nonconvex control domain;    Singular control;    Stochastic maximum principle;    Stochastic recursive optimal control;    Variational equation;   

DOI  :  10.1016/j.jmaa.2018.10.080

来源: Elsevier

【 摘 要 】

In this paper, we consider stochastic recursive optimal control problem, in which the control variable has two components with the first absolutely continuous and the second singular. The control domain of the first component needs not to be convex. By using a spike variation on the absolutely continuous part of the control and a convex perturbation on the singular one respectively, we obtain a stochastic maximum principle of the optimal control. Also, we give the relationship of the backward variational equation, the adjoint equation and forward variational equation. (C) 2018 Elsevier Inc. All rights reserved.

【 授权许可】

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