1. Department of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong, China;
2. School of Economics, Shandong University, Jinan 250100, China
Corresponding author (email: firstname.lastname@example.org)
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.
National Natural Science Foundation of China(11401345)
This work was supported by RGC Earmarked (Grant Nos. 501010, 502412) and National Natural Science Foundation of China (Grant No. 11401345).
Copyright 2020 Science China Press Co., Ltd. 《中国科学》杂志社有限责任公司 版权所有