Sufficient maximum principle for stochastic optimal control problems with general delays (Q2115257)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Sufficient maximum principle for stochastic optimal control problems with general delays |
scientific article; zbMATH DE number 7490448
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Sufficient maximum principle for stochastic optimal control problems with general delays |
scientific article; zbMATH DE number 7490448 |
Statements
Sufficient maximum principle for stochastic optimal control problems with general delays (English)
0 references
15 March 2022
0 references
The author considers a stochastic optimal control problem with three types of delays. The main results consist of establishing a sufficient maximum principle provided that admissible control is optimal. The main fcontribution of the paper is two-fold: 1) introduction of a unified adjoint equation, and 2) a new method to derive the adjoint process.
0 references
stochastic optimal control
0 references
maximum principle
0 references
delay system
0 references
anticipated BSDE
0 references
Malliavin derivative
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8788543939590454
0 references
0.8766916394233704
0 references
0.8758131265640259
0 references
0.8663297295570374
0 references
