TY - JOUR
T1 - Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Pantograph Systems with Regime Switching
AU - Shao , Dianguo
JO - Communications in Mathematical Research 
VL - 3
SP - 217
EP - 228
PY - 2021
DA - 2021/05
SN - 32
DO - http://doi.org/10.13447/j.1674-5647.2016.03.04
UR - https://global-sci.org/intro/article_detail/cmr/18893.html
KW - stochastic control, stochastic maximum principle, anticipated forward-backward stochastic pantograph equation, variational approach, regime switching,
Markov chain.
AB - <p style="text-align: justify;">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.</p>