Title :
Optimal control of backward stochastic differential equations with time delayed generators
Author_Institution :
Sch. of Math., Shandong Univ., Jinan, China
Abstract :
This paper is concerned with the optimal control problem for systems described by backward stochastic differential equations with time delayed generators. We prove a sufficient maximum principle for a certain class of such systems. As an application, an optimal consumption problem from financial market is solved by our result and the explicit optimal consumption rate is obtained.
Keywords :
delays; differential equations; optimal control; stochastic systems; backward stochastic differential equations; financial market; optimal consumption problem; optimal control; time delayed generators; Delay; Differential equations; Equations; Games; Generators; Optimal control; Backward stochastic differential equation; Maximum principle; Optimal consumption; Stochastic optimal control; Time delayed generator;
Conference_Titel :
Control Conference (CCC), 2011 30th Chinese
Conference_Location :
Yantai
Print_ISBN :
978-1-4577-0677-6
Electronic_ISBN :
1934-1768
