A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems

DOI10.1016/J.EJCON.2019.04.001MaRDI QIDQ2335461zbMATH OpenOpenAlexWikidataFDO

Authors Tao Hao, Qingxin Meng

Publication date 14 November 2019

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejcon.2019.04.001

zbMATH Keywords

delayadjoint equationrecursive utilityTaylor expansionsecond-order maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2134039 (Why is no real title available?)
• scientific article; zbMATH DE number 3955833 (Why is no real title available?)
• scientific article; zbMATH DE number 3797647 (Why is no real title available?)
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Cited in

(3)

• Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
• On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
• Singular optimal control problems with recursive utilities of mean-field type

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