Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching

DOI10.1002/oca.2160zbMath1333.93261OpenAlexW1583563890MaRDI QIDQ2800474

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Publication date: 15 April 2016

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2160

zbMATH Keywords

maximum principleregime switchingMarkov chainanticipated backward stochastic differential equationstochastic differential equation with delayforward-backward stochastic system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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