标题:The near-optimal maximum principle of impulse control for stochastic recursive system
作者:Jianhui HUANG;Detao ZHANG;
作者机构:[Jianhui HUANG]Department of Applied Mathematics, Hong Kong Polytechnic University;[Detao ZHANG]School of Economics, Shandong University
来源:Science China(Information Sciences)
出版年:2016
期:11
页码:92-105
关键词:Ekeland\'s principle;FBSDE;impulse control;maximum principle;near optimality
摘要:Here, we discuss the near-optimality for a class of stochastic impulse control problems. The state process in our problem is given by forward-backward stochastic differential equations(FBSDEs) with two control components involved: the regular and impulse control. More specially, the impulse control ...
资源类型:期刊论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=JFXG201611009&DbName=CJFQ2016
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