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

DOI10.3934/MCRF.2020048zbMATH Open1490.60161arXiv2002.03953OpenAlexW3107345906MaRDI QIDQ2070547FDOQ2070547

Authors: Giuseppina Guatteri, Federica Masiero 

Publication date: 24 January 2022

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

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.

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

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zbMATH Keywords

delaystochastic maximum principleanticipated backward stochastic differential equations

Mathematics Subject Classification ID

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

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Cited In (8)

• Stochastic optimal control of McKean-Vlasov equations with anticipating law
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Stochastic maximum principle for SPDEs with delay
• Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
• A general maximum principle for optimal control of stochastic differential delay systems
• Optimal control of stochastic delay differential equations: optimal feedback controls
• Stochastic control with delayed information and related nonlinear master equation
• Stochastic maximum principle for generalized mean-field delay control problem

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