Title :
Maximum principle for stochastic optimal control problem of forward-backward system with delay
Author :
Chen, Li ; Wu, Zhen
Author_Institution :
Sch. of Math., Shandong Univ., Jinan, China
Abstract :
In this paper, we consider stochastic recursive optimal control problem of the stochastic delayed system described by forward-backward stochastic differential equation with delay. By virtue of classical spike variational approach, duality method and the anticipated backward stochastic differential equation, we obtain the maximum principle of the optimal control for this problem.
Keywords :
delays; differential equations; maximum principle; stochastic processes; duality method; forward-backward stochastic differential equation; maximum principle; spike variational approach; stochastic delayed system; stochastic recursive optimal control problem; Control systems; Control theory; Cost function; Delay systems; Differential equations; Finance; Mathematics; Optimal control; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400152
