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

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

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Cited In (49)

Stochastic recursive optimal control problem with time delay and applications
Title not available (Why is that?)
Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty
Anticipated BSDEs driven by a single jump process
Necessary and sufficient conditions for near-optimality of stochastic delay systems
Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
Linear-quadratic delayed mean-field social optimization
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays
A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
Sufficient maximum principle for stochastic optimal control problems with general delays
Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
The mean-field linear quadratic optimal control problem for stochastic systems controlled by impulses
Successive approximation and optimal controls on fractional neutral stochastic differential equations with Poisson jumps
Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
Mean-field stochastic H₂/H_∞ control with delay
Stochastic maximum principle for control systems with time-varying delay
Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
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Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
Time optimal control of system governed by a fractional stochastic partial differential inclusion with Clarke subdifferential
Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
Approximate optimal control of fractional impulsive partial stochastic differential inclusions driven by Rosenblatt process
Linear quadratic optimal control problems of delayed backward stochastic differential equations
Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
Maximum principle for optimal control of neutral stochastic functional differential systems
A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance
Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
Optimal control and stabilization for Itô systems with input delay
Maximum principle for delayed stochastic mean-field control problem with state constraint
Title not available (Why is that?)
Anticipated backward stochastic differential equations on Markov chains
Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients
The delayed doubly stochastic linear quadratic optimal control problem
The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
A global maximum principle for stochastic optimal control problems with delay and applications
Delayed stochastic linear-quadratic control problem and related applications
A general maximum principle for optimal control of stochastic differential delay systems
Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays
Rational expectations: an approach of anticipated linear-quadratic social optima
Maximum principle for near-optimality of stochastic delay control problem
Hybrid optimal impulse control
Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
Mean-field anticipated BSDEs driven by time-changed Lévy noises
Anticipated BSDEs driven by time-changed Lévy noises
On the stochastic linear quadratic optimal control problem by piecewise constant controls: the infinite horizon time case
Anticipated backward stochastic variational inequalities with generalized reflection
Maximum principle for a stochastic delayed system involving terminal state constraints

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