Maximum principle for a stochastic delayed system involving terminal state constraints

Journal of inequalities and applications

Jiaqiang Wen¹ 

关键词: stochastic differential delayed equation;    state constraints;    maximum principle;    93E20;    60H10;   

DOI  :  10.1186/s13660-017-1378-z

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-delayed backward stochastic differential equation. Then a stochastic maximum principle is obtained by virtue of Ekeland’s variational principle. Finally, applications to a state constrained stochastic delayed linear-quadratic control model and a production-consumption choice problem are studied to illustrate the main obtained result.

【 授权许可】

CC BY