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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- Adapted solution of a backward stochastic differential equation
- An Introductory Approach to Duality in Optimal Stochastic Control
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- Backward Stochastic Differential Equations in Finance
- Dynamic programming in stochastic control of systems with delay
- Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
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- The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
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