The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

DOI10.1016/j.automatica.2012.06.082zbMath1271.93174OpenAlexW1989886421MaRDI QIDQ360987

Zhi-Yong Yu

Publication date: 28 August 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0005109812003524

zbMATH Keywords

optimal controlmaximum principleimpulse controlanticipated backward stochastic differential equationstochastic differential delay equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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