Stochastic recursive optimal control problem with mixed delay under viscosity solution's framework

DOI10.1002/OCA.2682zbMath1469.93119arXiv1912.10463OpenAlexW3089300597MaRDI QIDQ5003456

Weijun Meng, Jing-Tao Shi

Publication date: 22 July 2021

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

Full work available at URL: https://arxiv.org/abs/1912.10463

zbMATH Keywords

maximum principleviscosity solutionverification theoremdynamic programming principlestochastic recursive optimal controlmixed delay

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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