Sufficient maximum principle for stochastic optimal control problems with general delays
type: Item
instance of: scholarly article
title: Sufficient maximum principle for stochastic optimal control problems with general delays
zbMATH Open document ID: 1485.93644
author: Feng Zhang
published in: Journal of Optimization Theory and Applications
publication date: 2022-03-15T00:00:00Z
review text: The author considers a stochastic optimal control problem with three types of delays. The main results consist of establishing a sufficient maximum principle provided that admissible control is optimal. The main fcontribution of the paper is two-fold: 1) introduction of a unified adjoint equation, and 2) a new method to derive the adjoint process.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 34K35
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7490448
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: maximum principle
zbMATH Keywords: delay system
zbMATH Keywords: anticipated BSDE
zbMATH Keywords: Malliavin derivative
reviewed by: Anatoliy Swishchuk
MaRDI profile type: Publication
full work available at URL: s10957-021-01987-9
OpenAlex ID: W4210646296
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DOI: 10.1007/S10957-021-01987-9
description: scientific article; zbMATH DE number 7490448