Neutral Backward Stochastic Functional Differential Equations and Their Application
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Publication:6238737
arXiv1301.3081MaRDI QIDQ6238737FDOQ6238737
Authors: Wenning Wei 
Publication date: 14 January 2013
Abstract: In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an application, we discuss the optimal control of neutral stochastic functional differential equations, establish a Pontryagin maximum principle, and give an explicit optimal value for the linear optimal control.
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