Stochastic maximum principle for problems with delay with dependence on the past through general measures
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Publication:2070547
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
(8)- A general maximum principle for optimal control of stochastic differential delay systems
- Stochastic maximum principle for SPDEs with delay
- Stochastic control with delayed information and related nonlinear master equation
- Singular backward stochastic Volterra integral equations in infinite dimensional spaces
- Stochastic maximum principle for generalized mean-field delay control problem
- Stochastic optimal control of McKean-Vlasov equations with anticipating law
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- Optimal control of stochastic delay differential equations: optimal feedback controls
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