Stochastic maximum principle for problems with delay with dependence on the past through general measures

DOI10.3934/MCRF.2020048zbMath1490.60161arXiv2002.03953OpenAlexW3107345906MaRDI QIDQ2070547

Federica Masiero, Giuseppina Guatteri

Publication date: 24 January 2022

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.03953

zbMATH Keywords

delaystochastic maximum principleanticipated backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (3)

Singular backward stochastic Volterra integral equations in infinite dimensional spaces ⋮ A general maximum principle for optimal control of stochastic differential delay systems ⋮ Optimal control of stochastic delay differential equations: optimal feedback controls

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