Maximum principle for partially-observed optimal control problems of stochastic delay systems

DOI10.1007/S11424-016-5078-4MaRDI QIDQ2400451zbMATH OpenOpenAlexFDO

Authors Shuang Wu, Lan Shu

Publication date 1 September 2017

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-016-5078-4

zbMATH Keywords

anticipated backward stochastic differential equationmaximum principlepartially-observed optimal controlstochastic delay systems

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(14)

• A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
• The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
• Distributed optimal control of nonlinear time-delay system subject to delayed measurements and communication disruptions
• A global maximum principle for stochastic optimal control problems with delay and applications
• Adaptive numerical approach for optimal control of a single train
• Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays
• Maximum principle for delayed stochastic mean-field control problem with state constraint
• Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• A partially observed nonzero-sum stochastic differential game with delays and its application to finance
• Stochastic maximum principle for control systems with time-varying delay
• Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
• Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
• A stochastic maximum principle for partially observed stochastic control systems with delay

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