A global maximum principle for stochastic optimal control problems with delay and applications

DOI10.1016/j.sysconle.2021.104909zbMath1478.93739OpenAlexW3138005963MaRDI QIDQ2243004

Weijun Meng, Jing-Tao Shi

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

zbMATH Keywords

maximum principlestochastic optimal controllinear-quadratic controlanticipated backward stochastic differential equationstochastic differential delay equations

Mathematics Subject Classification ID

Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Delay control/observation systems (93C43)

Related Items (4)

A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information ⋮ Optimal control and stabilization for Itô systems with input delay

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