Stochastic recursive optimal control problem with time delay and applications
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Publication:256324
DOI10.3934/mcrf.2015.5.859zbMath1332.93383arXiv1304.6182OpenAlexW2963071172MaRDI QIDQ256324
Juanjuan Xu, Jing-Tao Shi, Huan-Shui Zhang
Publication date: 9 March 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.6182
maximum principlestochastic optimal controlbackward stochastic differential equationrecursive utilitygeneralized HJB equationstochastic differential delayed equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic functional-differential equations (34K50)
Related Items (5)
A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Optimal control of mean-field jump-diffusion systems with noisy memory ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ A global maximum principle for stochastic optimal control problems with delay and applications ⋮ A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance
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