A maximum principle for discrete-time stochastic optimal control problemE20 with delay

DOI10.1016/J.SYSCONLE.2023.105631MaRDI QIDQ6069653zbMATH OpenOpenAlexFDO

Authors Bozhang Dong, Tianyang Nie, Zhen Wu

Publication date 14 November 2023

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2023.105631

zbMATH Keywords

maximum principleadjoint operatordiscrete-time systemstochastic difference delayed equation

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2134039 (Why is no real title available?)
• A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
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• Delayed stochastic linear-quadratic control problem and related applications
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• Discrete-time indefinite LQ control with state and control dependent noises
• Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
• Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
• Maximum principle for discrete-time stochastic control problem of mean-field type
• Maximum principle for discrete-time stochastic optimal control problem and stochastic game
• Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
• Maximum principle for the stochastic optimal control problem with delay and application
• Optimal Stabilization Control for Discrete-Time Mean-Field Stochastic Systems
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Stochastic recursive optimal control problem with time delay and applications

Cited in

(6)

• scientific article; zbMATH DE number 4058607 (Why is no real title available?)
• scientific article; zbMATH DE number 4127959 (Why is no real title available?)
• Stochastic maximum principle for discrete time mean‐field optimal control problems
• A global maximum principle for stochastic optimal control problems with delay and applications
• A maximum principle for discrete delayed stochastic control system driven by fractional noise
• The general maximum principle for discrete-time stochastic control problems

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