Conjugate duality in stochastic controls with delay

DOI10.1017/apr.2017.32zbMath1429.93420OpenAlexW2748083807MaRDI QIDQ5233199

Huiling Le, Zimeng Wang, David J. Hodge

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/44290/

zbMATH Keywords

stochastic maximum principlestochastic delay differential equationanticipated backward stochastic differential equationstochastic optimal control with delayconjugate convex function

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Duality theory (optimization) (49N15)

Cites Work

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