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

DOI10.3934/MCRF.2020048zbMath1490.60161arXiv2002.03953OpenAlexW3107345906MaRDI QIDQ2070547

Federica Masiero, Giuseppina Guatteri

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

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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