Singular optimal controls for stochastic recursive systems under convex control constraint

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:497

Article

Zhang, Liangquan¹ 

[1] Beijing Univ Posts & Telecommun, Sch Sci, Beijing 100876, Peoples R China

关键词: Dynamic programming principle;    Forward-backward stochastic differential equations;    Malliavin calculus;    Maximum principle;    Singular optimal controls;    Viscosity solution;   

DOI  :  10.1016/j.jmaa.2020.124905

来源: Elsevier

【 摘 要 】

In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the regular control, and the singular one. Both drift and diffusion terms may involve the regular control variable. The regular control domain is postulated to be convex. Under certain assumptions, in the framework of the Malliavin calculus, we derive the pointwise second-order necessary conditions for stochastic SOC in the classical sense. This condition is described by two adjoint processes, a maximum condition on the Hamiltonian supported by an illustrative example. A new necessary condition for optimal singular control is obtained as well. Besides, as a by-product, a verification theorem for SOCs is derived via viscosity solutions without involving any derivatives of the value functions. It is worth pointing out that this theorem has wider applicability than the restrictive classical verification theorems. Finally, we focus on the connection between the maximum principle and the dynamic programming principle for such SOCs problem without the assumption that the value function is smooth enough. (C) 2020 Elsevier Inc. All rights reserved.

【 授权许可】

Free