Stochastic maximum principle for hybrid optimal control problems under partial observation-Reference-Cited by-同舟云学术

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Stochastic maximum principle for hybrid optimal control problems under partial observation

Published:2023-11 Issue: Volume:181 Page:105651
ISSN:0167-6911
Container-title:Systems & Control Letters
language:en
Short-container-title:Systems & Control Letters

Author:

Lv Siyu,Xiong Jie,Xu Wen

Funder

Ministry of Science and Technology of the People's Republic of China

National Key Research and Development Program of China

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Mechanical Engineering,General Computer Science,Control and Systems Engineering

Reference28 articles.

1. Hybrid Switching Diffusions: Properties and Applications;Yin,2010

2. Continuous-Time Markov Chains and Applications: A Two-Time-Scale Approach;Yin,2013

3. Sufficient stochastic maximum principle in a regime-switching diffusion model;Donnelly;Appl. Math. Optim.,2011

4. A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance;Zhang;SIAM J. Control Optim.,2012

5. Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models;Li;Appl. Math. Optim.,2015

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