Maximum principle for the stochastic optimal control problem with delay and application

DOI10.1016/j.automatica.2010.03.005zbMath1205.93163MaRDI QIDQ976280

Li Chen, Zhen Wu

Publication date: 17 June 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2010.03.005

zbMATH Keywords

optimal control; maximum principle; anticipated backward stochastic differential equation; stochastic differential equation with delay

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

34K50: Stochastic functional-differential equations

37H10: Generation, random and stochastic difference and differential equations

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls, Anticipated backward stochastic differential equations on Markov chains, Forward-backward linear quadratic stochastic optimal control problem with delay, Delayed stochastic linear-quadratic control problem and related applications, Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations

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