Maximum principle for the stochastic optimal control problem with delay and application
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anticipated backward stochastic differential equationmaximum principleoptimal controlstochastic differential equation with delay
Stochastic functional-differential equations (34K50) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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
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- 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?)
- 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
Cited in
(only showing first 100 items - show all)- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- Maximum principle for near-optimality of stochastic delay control problem
- Asset allocation with time series momentum and reversal
- Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- Stochastic control of memory mean-field processes
- Delayed stochastic linear-quadratic control problem and related applications
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
- A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
- Recurrent neural networks for stochastic control problems with delay
- Optimal control and stabilization for Itô systems with input delay
- Stochastic maximum principle for problems with delay with dependence on the past through general measures
- Sufficient maximum principle for stochastic optimal control problems with general delays
- FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays
- A maximum principle for a stochastic control problem with multiple random terminal times
- Maximum principle for stochastic optimal control problem with distributed delays
- Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle
- A linear quadratic stochastic Stackelberg differential game with time delay
- Anticipated backward stochastic differential equations with quadratic growth
- Stochastic optimal control problem in advertising model with delay
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
- A global maximum principle for stochastic optimal control problems with delay and applications
- Solvability of anticipated backward stochastic Volterra integral equations
- A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
- Stochastic maximum principle for SPDEs with delay
- Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
- Maximum principle for partially-observed optimal control problems of stochastic delay systems
- Verification theory and approximate optimal harvesting strategy for a stochastic competitive ecosystem subject to Lévy noise
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Anticipated BSDEs driven by time-changed Lévy noises
- Maximum principle for an optimal control problem associated to a stochastic variational inequality with delay
- Stochastic recursive optimal control problem with time delay and applications
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
- 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
- Linear-quadratic optimal control for discrete-time stochastic descriptor systems
- Expected value based optimal control for discrete-time stochastic noncausal systems
- Hurwicz criterion based optimal control model for uncertain descriptor systems with an application to industrial management
- On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
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- Verification theorem of stochastic optimal control with mixed delay and applications to finance
- Optimal control for discrete-time singular stochastic systems with input delay
- A maximum principle for infinite horizon delay equations
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- scientific article; zbMATH DE number 2134039 (Why is no real title available?)
- A necessary and sufficient stabilization condition for discrete time-varying stochastic systems with multiplicative noise
- Non-linear time-advanced backward stochastic partial differential equations with jumps
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
- Anticipated backward stochastic differential equations on Markov chains
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- Forward-backward linear quadratic stochastic optimal control problem with delay
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- Anticipated BSDEs driven by a single jump process
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- Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
- scientific article; zbMATH DE number 7338520 (Why is no real title available?)
- A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays
- Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games
- Mean-field stochastic control with elephant memory in finite and infinite time horizon
- Stochastic maximum principle for delayed doubly stochastic control systems and their applications
- Mean-field optimal control problem of SDDEs driven by fractional Brownian motion
- A partially observed nonzero-sum stochastic differential game with delays and its application to finance
- Conjugate duality in stochastic controls with delay
- Maximum principle for a stochastic delayed system involving terminal state constraints
- Linear quadratic regulation for discrete‐time systems with multiplicative noise and multiple input delays
- Necessary and sufficient conditions for near-optimality of stochastic delay systems
- Stochastic optimal control problem with delay
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- Maximum principle for stochastic control system with elephant memory and jump diffusion
- Singular backward stochastic Volterra integral equations in infinite dimensional spaces
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- -Nash mean-field games for stochastic linear-quadratic systems with delay and applications
- Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
- Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
- A general maximum principle for optimal control of stochastic differential delay systems
- Optimal control for networked control system with Markovian packet loss and delay
- Rational expectations: an approach of anticipated linear-quadratic social optima
- Optimal control of stochastic delay differential equations: optimal feedback controls
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