Maximum principle for near-optimality of stochastic delay control problem

DOI10.1186/s13662-017-1155-9zbMath1422.93190OpenAlexW2600331279WikidataQ59526226 ScholiaQ59526226MaRDI QIDQ1628658

Feng Zhang

Publication date: 4 December 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-017-1155-9

zbMATH Keywords

maximum principleEkeland's variational principlestochastic differential delay equationnear-optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

A kind of non-zero sum mixed differential game of backward stochastic differential equation ⋮ Maximum principle for near-optimality of mean-field FBSDEs

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