Risk-Sensitive Maximum Principle for Controlled System with Delay

Peng Wang ()
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Peng Wang: School of Control Science and Engineering, Shandong University, Jinan 250061, China

Mathematics, 2023, vol. 11, issue 4, 1-12

Abstract: Risk-sensitive maximum principle and verification theorem for controlled system with delay is obtained by virtue of classical convex variational technique. The prime feature in the research is that risk-sensitive parameter ϑ seriously affects adjoint equation and variational inequality. Moreover, a verification theorem of optimality is derived under some concavity conditions. An example is given to illustrate our theoretical result.

Keywords: maximum principle; risk-sensitive optimal control; stochastic differential equation with delay (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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