Stochastic maximum principle for control systems with time-varying delay

DOI10.1016/J.SYSCONLE.2024.105864zbMATH Open1542.93414MaRDI QIDQ6590425

Yuhang Li, Yuecai Han

Publication date: 21 August 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

maximum principletime-varying delayanticipated backward stochastic differential equationslinear quadratic optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Delay control/observation systems (93C43)

Cites Work

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• Delay geometric Brownian motion in financial option valuation
• Finite-time stability and optimal control of a stochastic reaction-diffusion model for Alzheimer's disease with impulse and time-varying delay

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