A general maximum principle for optimal control of stochastic differential delay systems

DOI10.1137/23m1552024MaRDI QIDQ6663103

Weijun Meng, Jing-Tao Shi, Tian Xiao Wang, Ji-Feng Zhang

Publication date: 14 January 2025

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

backward stochastic Volterra integral equationsgeneral maximum principlenonconvex control domainsecond-order adjoint equationsstochastic differential delay systems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Stochastic integral equations (60H20)

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