Sufficient maximum principle for stochastic optimal control problems with general delays (Q2115257)
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scientific article; zbMATH DE number 7490448
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sufficient maximum principle for stochastic optimal control problems with general delays |
scientific article; zbMATH DE number 7490448 |
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Sufficient maximum principle for stochastic optimal control problems with general delays (English)
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15 March 2022
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The author considers a stochastic optimal control problem with three types of delays. The main results consist of establishing a sufficient maximum principle provided that admissible control is optimal. The main fcontribution of the paper is two-fold: 1) introduction of a unified adjoint equation, and 2) a new method to derive the adjoint process.
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stochastic optimal control
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maximum principle
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delay system
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anticipated BSDE
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Malliavin derivative
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