Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012)
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| English | Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach |
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Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (English)
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29 March 2016
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Motivated by a problem from mathematical finance, a noncooperative stochastic differential game with delays is considered. The main result is necessary and sufficient conditions for optimality in terms of a Pontryagin-type stochastic maximum principle derived using an associated backward stochastic differential equation. The results are then applied to a problem of optimal consumption under uncertainty.
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stochastic delay differential games
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stochastic maximum principle
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backward stochastic differential equations
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optimality conditions
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optimal consumption under uncertainty
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