Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations

DOI10.1239/aap/1308662493zbMath1217.93183OpenAlexW2153624441MaRDI QIDQ3021251

Agnès Sulem, Tu-Sheng Zhang, Bernt Øksendal

Publication date: 22 July 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1308662493

zbMATH Keywords

optimal controlmaximum principleHamiltonianLévy processstochastic delay equationadjoint processtime-advanced BSDE

Mathematics Subject Classification ID

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