Sto chastic Maximum Principle for Optimal Control of Forward-backward Sto chastic Pantograph Systems with Regime Switching
Authors:
Dianguo Shao
Affiliation:
School of Mathematics, Jilin University, Changchun, 130012
Abstract:
In this paper, we derive the stochastic maximum principle for optimal control problems of the forward-backward Markovian regime-switching system. The control system is described by an anticipated forward-backward stochastic pantograph equation and modulated by a continuous-time finite-state Markov chain. By virtue of classical variational approach, duality method, and convex analysis, we obtain a stochastic maximum principle for the optimal control.