Hits:

Indexed by:Journal Papers

Date of Publication:2015-09-01

Journal:ASIAN JOURNAL OF CONTROL

Included Journals:SCIE、EI、Scopus

Volume:17

Issue:5

Page Number:1798-1809

ISSN No.:1561-8625

Key Words:Maximum principle; Malliavin calculus; forward-backward systems; impulse control; non-Markovian system

Abstract:We consider a combined stochastic control and impulse control problem of forward-backward systems driven by Levy 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. (c) 2015 Chinese Automatic Control Society and Wiley Publishing Asia Pty Ltd