Maximum principle for the stochastic optimal control problem with delay and application
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Publication:976280
DOI10.1016/J.AUTOMATICA.2010.03.005zbMath1205.93163OpenAlexW2082657448MaRDI QIDQ976280
Publication date: 17 June 2010
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2010.03.005
optimal controlmaximum principleanticipated backward stochastic differential equationstochastic differential equation with delay
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic functional-differential equations (34K50) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30)
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