Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
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backward stochastic differential equationsoptimality conditionsstochastic maximum principleoptimal consumption under uncertaintystochastic delay differential games
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Continuity and singularity of induced measures (60G30)
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Cites work
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- Pareto optimal strategy for linear stochastic systems with \(H_\infty\) constraint in finite horizon
- An optimal control model for uncertain systems with time-delay
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- Necessary and sufficient conditions of risk-sensitive optimal control and differential games for stochastic differential delayed equations
- Verification theorem of stochastic optimal control with mixed delay and applications to finance
- A class of quadratic forward-backward stochastic differential equations
- Nash equilibrium seeking in quadratic noncooperative games under two delayed information-sharing schemes
- A global maximum principle for stochastic optimal control problems with delay and applications
- A white noise approach to optimal insider control of systems with delay
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- Optimal control and non-zero-sum differential game for Hurwicz model considering uncertain dynamic systems with multiple input delays
- A partially observed nonzero-sum stochastic differential game with delays and its application to finance
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