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Maximum principle for stochastic optimal control problem of forward-backward system with delay

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2 Author(s)
Li Chen ; Sch. of Math., Shandong Univ., Jinan, China ; Zhen Wu

In this paper, we consider stochastic recursive optimal control problem of the stochastic delayed system described by forward-backward stochastic differential equation with delay. By virtue of classical spike variational approach, duality method and the anticipated backward stochastic differential equation, we obtain the maximum principle of the optimal control for this problem.

Published in:

Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on

Date of Conference:

15-18 Dec. 2009