DocumentCode
550154
Title
Optimal control of backward stochastic differential equations with time delayed generators
Author
Shi Jingtao
Author_Institution
Sch. of Math., Shandong Univ., Jinan, China
fYear
2011
fDate
22-24 July 2011
Firstpage
1285
Lastpage
1289
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (CCC), 2011 30th Chinese
Conference_Location
Yantai
ISSN
1934-1768
Print_ISBN
978-1-4577-0677-6
Electronic_ISBN
1934-1768
Type
conf
Filename
6000491
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