Stochastic maximum principle for equations with delay: the non-convex case
Optimization and Control
2018-11-29 v2
Abstract
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of controls with not necessarily convex. The maximum principle is formulated by means of first and second order adjoint BSDEs. We also outline how to deal with control problems with pointwise delay both in the state and in the control.
Cite
@article{arxiv.1805.07957,
title = {Stochastic maximum principle for equations with delay: the non-convex case},
author = {Giuseppina Guatteri and Federica Masiero},
journal= {arXiv preprint arXiv:1805.07957},
year = {2018}
}
Comments
In Section 3 there is a mistake in the calculation of the second adjoint equation that at the moment we are not able to fix