Stochastic maximum principle for delayed backward doubly stochastic control systems

DOI10.22436/jnsa.010.01.21zbMath1415.49021OpenAlexW2581881144MaRDI QIDQ4631804

Yuecai Han, Jie Xu

Publication date: 23 April 2019

Published in: The Journal of Nonlinear Sciences and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.22436/jnsa.010.01.21

zbMATH Keywords

optimal controltime delaystochastic maximum principledoubly stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Stochastic maximum principle for delayed doubly stochastic control systems and their applications ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes ⋮ The delayed doubly stochastic linear quadratic optimal control problem

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