标题:Maximum principle for stochastic optimal control problem of forward-backward system with delay
作者:Chen, Li ;Wu, Zhen
通讯作者:Chen, L
作者机构:[Chen, Li ;Wu, Zhen ] School of Mathematics, Shandong University, Jinan 250100, China
会议名称:48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
会议日期:15 December 2009 through 18 December 2009
来源:Proceedings of the IEEE Conference on Decision and Control
出版年:2009
页码:2899-2904
DOI:10.1109/CDC.2009.5400152
摘要: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. ©2009 IEEE.
收录类别:EI;SCOPUS
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-77950835289&doi=10.1109%2fCDC.2009.5400152&partnerID=40&md5=596519db0ca4c3167092ab4cb6ea114c
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