Dynamic programming principle for stochastic recursive optimal control problem with delayed systems

DOI10.1051/COCV/2011187MaRDI QIDQ4910995zbMATH OpenOpenAlexFDO

Authors Li Chen, Zhen Wu

Publication date 13 March 2013

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/cocv/2011187

zbMATH Keywords

dynamic programming principleHamilton-Jacobi-Bellman equationrecursive optimal control problemstochastic differential equation with delay

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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(17)

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• Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
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• Stochastic maximum principle for control systems with time-varying delay

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