Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes

DOI10.1007/s11766-014-3171-9zbMath1313.93208OpenAlexW2394703277MaRDI QIDQ462276

Na Li, Zhen Wu

Publication date: 3 November 2014

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-014-3171-9

zbMATH Keywords

maximum principleLévy processesstochastic optimal controlanticipated backward differential equationstochastic differential equation with delay

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Applications of anticipated BSDEs driven by time-changing Lévy noises ⋮ Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

Cites Work

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• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
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