Maximum principle for a stochastic delayed system involving terminal state constraints
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Abstract: We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-delayed backward stochastic differential equation. Then a stochastic maximum principle is obtained by virtue of Ekeland's variational principle. Finally, applications to a state constrained stochastic delayed linear-quadratic control model and a production-consumption choice problem are studied to illustrate the main obtained result.
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- scientific article; zbMATH DE number 7338520
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Cited in
(10)- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
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- Maximum principle for one kind of stochastic delay optimal control problem with state constraint
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