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ArticleSufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays

Feng Zhang2022

Article2022

Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays

19 citations·0/0 files stored·Journal of Optimization Theory and Applications

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Stochastic processes and financial applications Stability and Control of Uncertain Systems Nonlinear Differential Equations Analysis

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References

1999Stochastic Controls 2010Maximum principle for the stochastic optimal control problem with delay and application 2012ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 2009Anticipated backward stochastic differential equations 2017A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance 2014Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance 2011Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations 2012The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

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Year2022

Typearticle

Published2022-01-27

VenueJournal of Optimization Theory and Applications

ISSN-L0022-3239

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10957-021-01987-9

openalex_workW4210646296

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