Maximum principle for the stochastic optimal control problem with delay and application
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maximum principleoptimal controlanticipated backward stochastic differential equationstochastic differential equation with delay
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cites work
- scientific article; zbMATH DE number 2134039 (Why is no real title available?)
- scientific article; zbMATH DE number 3784042 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- A Delayed Black and Scholes Formula
- Adapted solution of a backward stochastic differential equation
- An Introductory Approach to Duality in Optimal Stochastic Control
- Anticipated backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
- Dynamic programming in stochastic control of systems with delay
- Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
- Optimal control of stochastic differential delay equations with application in economics
- The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
- The pricing of options for securities markets with delayed response
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- scientific article; zbMATH DE number 2134039 (Why is no real title available?)
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- Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
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- A partially observed nonzero-sum stochastic differential game with delays and its application to finance
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
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