Stochastic recursive optimal control problem with time delay and applications
From MaRDI portal
Publication:256324
DOI10.3934/mcrf.2015.5.859zbMath1332.93383arXiv1304.6182MaRDI QIDQ256324
Juanjuan Xu, Jing-Tao Shi, Huan-Shui Zhang
Publication date: 9 March 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.6182
maximum principle; stochastic optimal control; backward stochastic differential equation; recursive utility; generalized HJB equation; stochastic differential delayed equation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
34K50: Stochastic functional-differential equations
