Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. We establish sufficient and necessary stochastic maximum principles for an optimal control of such systems. The associated adjoint processes are shown to satisfy a (time-) advanced backward stochastic differential equation (ABSDE). Several results on existence and uniqueness of such ABSDEs are sho...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2011
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800004997