Maximum principle for the stochastic optimal control problem with delay and application

DOI10.1016/j.automatica.2010.03.005zbMath1205.93163MaRDI QIDQ976280

Li Chen, Zhen Wu

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

zbMATH Keywords

optimal control; maximum principle; anticipated backward stochastic differential equation; stochastic differential equation with delay

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

34K50: Stochastic functional-differential equations

37H10: Generation, random and stochastic difference and differential equations

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation, Delayed Optimal Control of Stochastic LQ Problem, Anticipated backward stochastic variational inequalities with generalized reflection, Anticipated BSDEs driven by a single jump process, Stochastic maximum principle for delayed backward doubly stochastic control systems, Linear quadratic regulation for discrete‐time systems with multiplicative noise and multiple input delays, Necessary and sufficient conditions for near-optimality of stochastic delay systems, Stochastic recursive optimal control problem with time delay and applications, Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach, Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation, The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls, Anticipated backward stochastic differential equations on Markov chains, Forward-backward linear quadratic stochastic optimal control problem with delay, Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance, Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes, Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach, Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients, Maximum principle for a stochastic delayed system involving terminal state constraints, Maximum principle for optimal control of neutral stochastic functional differential systems, An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations, Maximum principle for near-optimality of stochastic delay control problem, Asset allocation with time series momentum and reversal, Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information, Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application, Stochastic control of memory mean-field processes, Delayed stochastic linear-quadratic control problem and related applications, Stochastic maximum principle for SPDEs with delay, Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls, Maximum principle for partially-observed optimal control problems of stochastic delay systems, Verification theory and approximate optimal harvesting strategy for a stochastic competitive ecosystem subject to Lévy noise, Anticipated BSDEs driven by time-changed Lévy noises, H₂/H_∞control for stochastic systems with delay, Stabilization of Discrete-time Systems with Multiplicative Noise and Multiple Delays in the Control Variable, Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions, Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching, Optimal control for discrete-time singular stochastic systems with input delay, Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations, A necessary and sufficient stabilization condition for discrete time-varying stochastic systems with multiplicative noise, Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
• Anticipated backward stochastic differential equations
• The pricing of options for securities markets with delayed response
• A Delayed Black and Scholes Formula
• The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• Dynamic programming in stochastic control of systems with delay