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)
The authors consider the stochastic differential delayed equations. They describe the stochastic delayed control system and use the duality relation between this system and the anticipated backward stochastic differential equations introduced by Bismut (1978) to obtain the stochastic maximum principle for the delayed system. They derive sufficient conditions of optimality for the stochastic delayed system under some concavity assumptions. The results are applied on an investment problem involving some production and consumption. Numerical results show that the larger delay time lead to higher consumption rate.
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