Stochastic maximum principle for delayed doubly stochastic control systems and their applications

DOI10.1080/00207179.2018.1508850MaRDI QIDQ5113301zbMATH OpenOpenAlexWikidataFDO

Authors Jie Xu

Publication date 4 June 2020

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2018.1508850

zbMATH Keywords

optimal controlstochastic maximum principledelay systemdoubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Recommendations

• Stochastic maximum principle for delayed backward doubly stochastic control systems
• Maximum principle for backward doubly stochastic control systems with applications
• scientific article; zbMATH DE number 7295375
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• Maximum principle for the stochastic optimal control problem with delay and application

Cites work

• scientific article; zbMATH DE number 3167340 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• A type of time-symmetric forward-backward stochastic differential equations
• An Introductory Approach to Duality in Optimal Stochastic Control
• Anticipated backward doubly stochastic differential equations
• Anticipated backward doubly stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Forward-backward linear quadratic stochastic optimal control problem with delay
• Maximum principle for backward doubly stochastic control systems with applications
• Maximum principle for forward-backward doubly stochastic control systems and applications
• Maximum principle for the stochastic optimal control problem with delay and application
• Maximum principles for backward doubly stochastic systems with jumps and applications
• Optimal Control of Backward Doubly Stochastic Systems With Partial Information
• Optimal control problem of backward stochastic differential delay equation under partial information
• Partially observed optimal controls of forward-backward doubly stochastic systems
• Stochastic calculus with anticipating integrands
• Stochastic maximum principle for delayed backward doubly stochastic control systems
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• The second order minimum principle and adjoint process

Cited in

(9)

• scientific article; zbMATH DE number 7295375 (Why is no real title available?)
• Forward-backward doubly stochastic differential equations with random jumps and related games
• Non-zero-sum differential games of delayed backward doubly stochastic systems and their application
• Stochastic maximum principle for delayed backward doubly stochastic control systems
• The delayed doubly stochastic linear quadratic optimal control problem
• Partially observed nonzero-sum differential game of BSDEs with delay and applications
• A global maximum principle for stochastic optimal control problems with delay and applications
• Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
• Dynamic programming principle for stochastic recursive optimal control problem with delayed systems

This page was built for publication: Stochastic maximum principle for delayed doubly stochastic control systems and their applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5113301)