Verification Theorem Of Stochastic Optimal Control With Mixed Delay And Applications To Finance

DOI10.1002/asjc.993zbMath1338.93410OpenAlexW1950082225MaRDI QIDQ2813970

Zisha Zhang, Wenli Zhu

Publication date: 17 June 2016

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.993

zbMATH Keywords

maximum principlestochastic optimal controlbackward stochastic differential equationadjoint equationHamiltonian functionmixed delay

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays

Cites Work

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• Anticipated backward stochastic differential equations
• Backward stochastic differential equations and applications to optimal control
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• Applications of differential inequalities for stability of some functional differential equations
• Stochastic maximum principle for optimal control problem of forward and backward system
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
• A Pontryagin's Maximum Principle for Non-Zero Sum Differential Games of BSDEs with Applications

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