A global maximum principle for stochastic optimal control problems with delay and applications
DOI10.1016/j.sysconle.2021.104909zbMath1478.93739OpenAlexW3138005963MaRDI QIDQ2243004
Publication date: 10 November 2021
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2021.104909
maximum principlestochastic optimal controllinear-quadratic controlanticipated backward stochastic differential equationstochastic differential delay equations
Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Delay control/observation systems (93C43)
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