Explicit solution to forward and backward stochastic differential equations with state delay and its application to optimal control

DOI10.1007/s11768-022-00106-xzbMath1500.93148OpenAlexW4291512479WikidataQ115377799 ScholiaQ115377799MaRDI QIDQ2089111

Juanjuan Xu, Tianfu Ma, Huan-Shui Zhang

Publication date: 6 October 2022

Published in: Control Theory and Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11768-022-00106-x

zbMATH Keywords

analytical solutionstate delaydiscrete-time systemFBSDEs

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Delay control/observation systems (93C43)

Related Items (1)

Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations

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