Sufficient maximum principle for stochastic optimal control problems with general delays
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Publication:2115257
The author considers a stochastic optimal control problem with three types of delays. The main results consist of establishing a sufficient maximum principle provided that admissible control is optimal. The main fcontribution of the paper is two-fold: 1) introduction of a unified adjoint equation, and 2) a new method to derive the adjoint process.
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Cited in
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