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论文类型：期刊论文
发表时间：2015-09-01
发表刊物：ASIAN JOURNAL OF CONTROL
收录刊物：SCIE、EI、Scopus
卷号：17
期号：5
页面范围：1798-1809
ISSN号：1561-8625
关键字：Maximum principle; Malliavin calculus; forward-backward systems; impulse control; non-Markovian system
摘要：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