Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
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Publication:3021251
DOI10.1239/aap/1308662493zbMath1217.93183MaRDI QIDQ3021251
Bernt Øksendal, Agnès Sulem, Tu-Sheng Zhang
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
optimal control; maximum principle; Hamiltonian; Lévy process; stochastic delay equation; adjoint process; time-advanced BSDE
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H20: Stochastic integral equations
49J55: Existence of optimal solutions to problems involving randomness
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