Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls

Abstract

AbstractThis article focuses on a stochastic recursive optimal control problem involving impulse control under partially observed information and obtains the related maximum principle. Unlike the classical literature, both the regular control (considering the nonconvexity of the domain) and the impulse control (where the domain is convex) are considered in the framework. In virtue of two types of variational methods, spike variation and convex variation, the Pontryagin maximum principle is established. In addition, to demonstrate the validity of the results, this article investigates a differential game problem as an application.