摘要
This paper considers a stochastic optimal control problem of a forward-backward system with regular-singular controls where the set of regular controls is not necessarily convex and the regular control enters the diffusion coefficient.This control problem is difficult to solve with the classical method of spike variation.The authors use the approach of relaxed controls to establish maximum principle for this stochastic optimal control problem.Sufficient optimality conditions are also investigated.
基金
supported by the National Natural Science Foundation of China under Grant Nos.11201268and 61105077
the Natural Science Foundation of Shandong Province under Grant Nos.ZR2011AQ018 andZR2012AQ013
