Maximum principle for a stochastic delayed system involving terminal state constraints

Abstract

We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-delayed backward stochastic differential equation. Then a stochastic… (More)
DOI: 10.1186/s13660-017-1378-z

Cite this paper

@inproceedings{Wen2017MaximumPF, title={Maximum principle for a stochastic delayed system involving terminal state constraints}, author={Jiaqiang Wen and Yufeng Shi}, booktitle={Journal of inequalities and applications}, year={2017} }