Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations

DOI10.1239/aap/1308662493zbMath1217.93183MaRDI QIDQ3021251

Agnès Sulem, Tu-Sheng Zhang, Bernt Øksendal

Publication date: 22 July 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1308662493

zbMATH Keywords

optimal control; maximum principle; Hamiltonian; Lévy process; stochastic delay equation; adjoint process; time-advanced BSDE

Mathematics Subject Classification ID

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

93E20: Optimal stochastic control

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H20: Stochastic integral equations

49J55: Existence of optimal solutions to problems involving randomness

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