Maximum principle for one kind of stochastic delay optimal control problem with state constraint

DOI10.1360/012014-63zbMATH Open1488.93189OpenAlexW2317445530MaRDI QIDQ5017995FDOQ5017995

Authors: Feng Zhang 

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012014-63

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zbMATH Keywords

maximum principleoptimal controlstate constraintstochastic differential delay equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (11)

• Stochastic optimal control problem of constrained switching system with delay
• Title not available (Why is that?)
• On one stochastic optimal control problem with control delay
• A necessary condition for one stochastic optimal control problem with constant delay on control and state
• Maximum principle for an optimal control problem associated to a stochastic variational inequality with delay
• Maximum principle for delayed stochastic linear-quadratic control problem with state constraint
• Maximum principle for delayed stochastic mean-field control problem with state constraint
• A global maximum principle for stochastic optimal control problems with delay and applications
• A varying terminal time structure for stochastic optimal control under constrained condition
• Maximum principle for near-optimality of stochastic delay control problem
• Maximum principle for a stochastic delayed system involving terminal state constraints

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