Necessary and sufficient conditions of risk‐sensitive optimal control and differential games for stochastic differential delayed equations

DOI10.1002/RNC.4655zbMath1426.93117OpenAlexW2953773101WikidataQ127593626 ScholiaQ127593626MaRDI QIDQ5241773

Jun-Hee Moon

Publication date: 1 November 2019

Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/rnc.4655

zbMATH Keywords

stochastic maximum principlestochastic differential delayed equationrisk-sensitive optimal control and differential game

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Control/observation systems governed by functional-differential equations (93C23) Stochastic functional-differential equations (34K50)

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A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Robust risk‐sensitive control ⋮ Mean-field stochastic H₂/H_∞ control with delay

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