Dynamic programming principle for stochastic recursive optimal control problem with delayed systems

DOI10.1051/cocv/2011187zbMath1259.49040OpenAlexW2090698372MaRDI QIDQ4910995

Li Chen, Zhen Wu

Publication date: 13 March 2013

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2011187

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programming principlestochastic differential equation with delayrecursive optimal control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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