Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations

DOI10.1051/cocv/2011204zbMath1258.93122OpenAlexW2133204572MaRDI QIDQ4910998

Jianhui Huang, Jing-Tao Shi

Publication date: 13 March 2013

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2011204

zbMATH Keywords

maximum principlestochastic optimal controlClarke's generalized gradientstochastic differential delayed equationanticipated backward differential equationfully coupled forward-backward stochastic system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45)

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