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

DOI10.1360/012014-63MaRDI QIDQ5017995zbMATH OpenOpenAlexFDO

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

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)

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(11)

• Stochastic optimal control problem of constrained switching system with delay
• scientific article; zbMATH DE number 7338520 (Why is no real title available?)
• On one stochastic optimal control problem with control delay
• Maximum principle for an optimal control problem associated to a stochastic variational inequality with delay
• A necessary condition for one stochastic optimal control problem with constant delay on control and state
• 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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