Maximum principle for the stochastic optimal control problem with delay and application (Q976280): Difference between revisions
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Revision as of 02:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum principle for the stochastic optimal control problem with delay and application |
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Maximum principle for the stochastic optimal control problem with delay and application (English)
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17 June 2010
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The authors consider the stochastic differential delayed equations. They describe the stochastic delayed control system and use the duality relation between this system and the anticipated backward stochastic differential equations introduced by Bismut (1978) to obtain the stochastic maximum principle for the delayed system. They derive sufficient conditions of optimality for the stochastic delayed system under some concavity assumptions. The results are applied on an investment problem involving some production and consumption. Numerical results show that the larger delay time lead to higher consumption rate.
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stochastic differential equation with delay
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anticipated backward stochastic differential equation
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optimal control
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maximum principle
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