Neutral Backward Stochastic Functional Differential Equations and Their Application
Optimization and Control
2013-01-15 v1
Abstract
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an application, we discuss the optimal control of neutral stochastic functional differential equations, establish a Pontryagin maximum principle, and give an explicit optimal value for the linear optimal control.
Cite
@article{arxiv.1301.3081,
title = {Neutral Backward Stochastic Functional Differential Equations and Their Application},
author = {Wenning Wei},
journal= {arXiv preprint arXiv:1301.3081},
year = {2013}
}