Stochastic maximum principle for delayed doubly stochastic control systems and their applications

DOI10.1080/00207179.2018.1508850zbMath1443.93141OpenAlexW2886639223WikidataQ129420263 ScholiaQ129420263MaRDI QIDQ5113301

Jie Xu

Publication date: 4 June 2020

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

Full work available at URL: https://doi.org/10.1080/00207179.2018.1508850

zbMATH Keywords

optimal controldelay systemstochastic maximum principledoubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (4)

A global maximum principle for stochastic optimal control problems with delay and applications ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ The delayed doubly stochastic linear quadratic optimal control problem ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications

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