Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays

Feng Zhang ()
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Feng Zhang: Shandong University of Finance and Economics

Journal of Optimization Theory and Applications, 2022, vol. 192, issue 2, No 11, 678-701

Abstract: Abstract This paper is to establish a sufficient maximum principle for one kind of stochastic optimal control problem with three types of delays: a discrete delay, a moving-average delay and a noisy memory. The main features of this research include the introduction of a unified adjoint equation and a simple method to get the adjoint process. One kind of optimal consumption problem and its special cases are studied as illustrative examples, for which the adjoint equations are solved with two different approaches and the optimal consumption strategies are obtained.

Keywords: Stochastic optimal control; Maximum principle; Delay system; Anticipated BSDE; Malliavin derivative; 93E20; 34K35; 60H30 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-021-01987-9

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