Stochastic maximum principle for problems with delay with general dependence on the past
Probability
2024-03-14 v2
Abstract
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out to be a new form of linear anticipated backward stochastic differential equations (ABSDEs in the following), and we prove a direct formula to solve these equations.
Cite
@article{arxiv.2002.03953,
title = {Stochastic maximum principle for problems with delay with general dependence on the past},
author = {Giuseppina Guatteri and Federica Masiero},
journal= {arXiv preprint arXiv:2002.03953},
year = {2024}
}
Comments
Updated version, we have fixed some typos, the differences are in blu