Maximum principle for partially-observed optimal control problems of stochastic delay systems

DOI10.1007/s11424-016-5078-4zbMath1370.93328OpenAlexW2565516109MaRDI QIDQ2400451

Lan Shu, Shuang Wu

Publication date: 1 September 2017

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-016-5078-4

zbMATH Keywords

maximum principleanticipated backward stochastic differential equationpartially-observed optimal controlstochastic delay systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays ⋮ The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance ⋮ Distributed optimal control of nonlinear time-delay system subject to delayed measurements and communication disruptions ⋮ A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance ⋮ A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information ⋮ Adaptive numerical approach for optimal control of a single train

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