Stochastic maximum principle for problems with delay with dependence on the past through general measures

DOI10.3934/MCRF.2020048MaRDI QIDQ2070547zbMATH OpenOpenAlexFDO

Authors Giuseppina Guatteri, Federica Masiero

Publication date 24 January 2022

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.03953

zbMATH Keywords

anticipated backward stochastic differential equationsdelaystochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Abstract: We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out to be a new form of linear anticipated backward stochastic differential equations (ABSDEs in the following), and we prove a direct formula to solve these equations.

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Cited in

(12)

• Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
• Stochastic optimal control of McKean-Vlasov equations with anticipating law
• Stochastic maximum principle for SPDEs with delay
• Stochastic control with delayed information and related nonlinear master equation
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• A general maximum principle for optimal control of stochastic differential delay systems
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• Stochastic maximum principle for equations with delay: going to infinite dimensions to solve the nonconvex case
• Lifting partial smoothing to solve HJB equations and stochastic control problems
• Anticipated backward stochastic differential equations with quadratic growth: multidimensional results

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