Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
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Publication:262012
DOI10.1007/s10957-013-0484-4zbMath1381.49041OpenAlexW2062611968MaRDI QIDQ262012
Publication date: 29 March 2016
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-013-0484-4
optimality conditionsbackward stochastic differential equationsstochastic maximum principleoptimal consumption under uncertaintystochastic delay differential games
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Continuity and singularity of induced measures (60G30)
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