DocumentCode
3304977
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
fYear
2009
fDate
15-18 Dec. 2009
Firstpage
2899
Lastpage
2904
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;
fLanguage
English
Publisher
ieee
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
ISSN
0191-2216
Print_ISBN
978-1-4244-3871-6
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2009.5400152
Filename
5400152
Link To Document