Sufficient maximum principle for stochastic optimal control problems with general delays

DOI10.1007/S10957-021-01987-9zbMATH Open1485.93644OpenAlexW4210646296MaRDI QIDQ2115257FDOQ2115257

Authors: Feng Zhang 

Publication date: 15 March 2022

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-021-01987-9

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zbMATH Keywords

maximum principleMalliavin derivativestochastic optimal controldelay systemanticipated BSDE

Mathematics Subject Classification ID

Control problems for functional-differential equations (34K35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

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• A maximum principle for infinite horizon delay equations
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• Title not available (Why is that?)
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Cited In (14)

• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• Conjugate duality in stochastic controls with delay
• Maximum principle for an optimal control problem associated to a stochastic variational inequality with delay
• Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
• Linear-quadratic optimal control problems of state delay systems under full and partial information
• Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
• Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
• Maximum principle for stochastic optimal control problem with distributed delays
• Stochastic maximum principle for problems with delay with dependence on the past through general measures
• Maximum principle for delayed stochastic mean-field control problem with state constraint
• A global maximum principle for stochastic optimal control problems with delay and applications
• A general maximum principle for optimal control of stochastic differential delay systems
• Emission reduction of low-carbon supply chain based on uncertain differential game
• A maximum principle for discrete-time stochastic optimal control problemE20 with delay

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