Maximum principle for optimal control of neutral stochastic functional differential systems
From MaRDI portal
Publication:889818
DOI10.1007/s11425-015-4972-xzbMath1327.93421arXiv1301.3086MaRDI QIDQ889818
Publication date: 9 November 2015
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.3086
stochastic optimal control; Pontryagin maximum principle; neutral stochastic functional differential equation; neutral backward stochastic functional equation of Volterra type
Related Items
Existence of relaxed optimal control for $G$-neutral stochastic functional differential equations with uncontrolled diffusion, Maximum principle for forward–backward SDEs with a general cost functional, Stochastic neutral evolution equations on Hilbert spaces with partially observed relaxed control and their necessary conditions of optimality
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
- Quadratic control problem of neutral Ornstein-Uhlenbeck processes with control delays
- Adapted solution of a backward stochastic differential equation
- Exponential stability in mean square of neutral stochastic differential functional equations
- Well-posedness and regularity of backward stochastic Volterra integral equations
- Maximum principle for the stochastic optimal control problem with delay and application
- Existence, uniqueness and stability of the solutions to neutral stochastic functional differential equations with infinite delay
- Efficient heuristics for inventory placement in acyclic networks
- Stability of functional differential equations
- Theory of functional differential equations. 2nd ed
- Introduction to functional differential equations
- Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
- Construction of Lyapunov functionals for stochastic hereditary systems: A survey of some recent results
- Some Solvable Stochastic Control Problems With Delay
- Some New Aspects of Lyapunov-Type Theorems for Stochastic Differential Equations of Neutral Type
- Théorie probabiliste du contrôle des diffusions
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- An Introductory Approach to Duality in Optimal Stochastic Control
- Backward Stochastic Differential Equations in Finance
- Adapted solution of a backward stochastic nonlinear Volterra integral equation
- Delay-Dependent Exponential Stability of Neutral Stochastic Delay Systems
- A maximum principle for optimal control problems with neutral functional differential systems
- Control of Functional Differential Equations of Retarded and Neutral Type to Target Sets in Function Space
- Maximum principle for optimal control of stochastic system of functional type
