Stochastic maximum principle for control systems with time-varying delay

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

The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
Some properties of generalized anticipated backward stochastic differential equations
A stochastic maximum principle for partially observed stochastic control systems with delay
Optimal control problem of backward stochastic differential delay equation under partial information
Maximum principle for the stochastic optimal control problem with delay and application
Delayed stochastic linear-quadratic control problem and related applications
Optimal investment problem with delay under partial information
Anticipated backward stochastic differential equations with quadratic growth
A global maximum principle for stochastic optimal control problems with delay and applications
Anticipated backward stochastic differential equations
A maximum principle for infinite horizon delay equations
Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays
A Delayed Black and Scholes Formula
Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
Fibonacci wavelets and their applications for solving two classes of time‐varying delay problems
An Efficient Finite Difference Method for The Time‐Delay Optimal Control Problems With Time‐Varying Delay
The Maximum Principle for Optimal Control Problems with Time Delays
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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