Maximum principle for the stochastic optimal control problem with delay and application
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Publication:976280
DOI10.1016/J.AUTOMATICA.2010.03.005zbMATH Open1205.93163OpenAlexW2082657448MaRDI QIDQ976280FDOQ976280
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
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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- Stochastic optimal control problem in advertising model with delay
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- Rational expectations: an approach of anticipated linear-quadratic social optima
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