Stochastic maximum principle for moving average control system

DOI10.1002/OCA.3059MaRDI QIDQ6139621zbMATH OpenOpenAlexFDO

Authors Yuhang Li, Yuecai Han, Yanwei Gao

Publication date 19 January 2024

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.3059

zbMATH Keywords

integral differential equationslinear quadratic optimal controlmaximum principlemoving average control system

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cites work

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• Backward Stochastic Differential Equations in Finance
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• Bounds for Solutions to a Class of Integro-differential Equations Associated with a Theory of Rigid Nonconducting Material Dielectrics
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• Hybrid functions approach for optimal control of systems described by integro-differential equations
• Mean square stability of stochastic Volterra integro-differential equations
• Modified projection-iterative method for weakly nonlinear integrodifferential equations with parameters
• Numerical solution to a control problem for integro-differential equations
• On one approach to solve the linear boundary value problems for Fredholm integro-differential equations
• Reproducing kernel method for solving Fredholm integro-differential equations with weakly singularity
• Some properties of generalized anticipated backward stochastic differential equations
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations

Cited in

(1)

• Stochastic maximum principle for a generalized Volterra control system

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