The near-optimal maximum principle of impulse control for stochastic recursive system  

作　　者：Jianhui HUANG Detao ZHANG 

机构地区：[1]Department of Applied Mathematics, Hong Kong Polytechnic University [2]School of Economics, Shandong University

出　　处：《Science China(Information Sciences)》2016年第11期88-101,共14页中国科学（信息科学）（英文版）

基　　金：supported by RGC Earmarked (Grant Nos. 501010, 502412);National Natural Science Foundation of China (Grant No. 11401345)

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 is defined on a sequence of prescribed stopping times. A recursive cost functional is introduced and the maximum principle for its near-optimality （both necessary and sufficient conditions） is derived with the help of Ekeland＇s principle and variational analysis. For illustration, one concrete example is studied with our maximum principle and the corresponding near-optimal control is characterized.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 is defined on a sequence of prescribed stopping times. A recursive cost functional is introduced and the maximum principle for its near-optimality （both necessary and sufficient conditions） is derived with the help of Ekeland＇s principle and variational analysis. For illustration, one concrete example is studied with our maximum principle and the corresponding near-optimal control is characterized.

关 键 词：Ekeland＇s principle FBSDE impulse control maximum principle near optimality. 

分 类 号：O232[理学—运筹学与控制论]