Maximum principle for the stochastic optimal control problem with delay and application
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maximum principleoptimal controlanticipated backward stochastic differential equationstochastic differential equation with delay
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cites work
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