Maximum principle for optimal control of neutral stochastic functional differential systems
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Publication:889818
DOI10.1007/s11425-015-4972-xzbMath1327.93421arXiv1301.3086OpenAlexW2593874967MaRDI 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 controlPontryagin maximum principleneutral stochastic functional differential equationneutral backward stochastic functional equation of Volterra type
Related Items (3)
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
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