Sufficient maximum principle for stochastic optimal control problems with general delays
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.
scientific article; zbMATH DE number 7490448
scientific article