Optimal Control of Backward Stochastic Differential Equations with Time Delayed Generators

被引：0

作者：

Shi Jingtao ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

2011 30TH CHINESE CONTROL CONFERENCE (CCC) | 2011年

关键词：

Stochastic optimal control; Backward stochastic differential equation; Time delayed generator; Maximum principle; Optimal consumption; MAXIMUM PRINCIPLE;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned with the optimal control problem for systems described by backward stochastic differential equations with time delayed generators. We prove a sufficient maximum principle for a certain class of such systems. As an application, an optimal consumption problem from financial market is solved by our result and the explicit optimal consumption rate is obtained.

引用

页码：1285 / 1289

页数：5

共 50 条

[1] Reflected backward stochastic differential equations with time delayed generators
Zhou, Qing
Ren, Yong
STATISTICS & PROBABILITY LETTERS, 2012, 82 (05) : 979 - 990
[2] Multivalued backward stochastic differential equations with time delayed generators
Diomande, Bakarime
Maticiuc, Lucian
CENTRAL EUROPEAN JOURNAL OF MATHEMATICS, 2014, 12 (11): : 1624 - 1637
[3] Reflected backward stochastic differential equations with time-delayed generators
Tuo, Navegue
Coulibaly, Harouna
Aman, Auguste
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2018, 26 (01) : 11 - 22
[4] BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAYED GENERATORS-RESULTS AND COUNTEREXAMPLES
Delong, Lukasz
Imkeller, Peter
ANNALS OF APPLIED PROBABILITY, 2010, 20 (04): : 1512 - 1536
[5] Backward stochastic differential equations with non-Lipschitz time delayed generators
Coulibaly, Harouna
Aman, Auguste
ASIAN JOURNAL OF CONTROL, 2020, 22 (06) : 2301 - 2308
[6] Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators
Karouf, Monia
JOURNAL OF THEORETICAL PROBABILITY, 2019, 32 (01) : 216 - 248
[7] Reflected mean-field backward stochastic differential equations with time delayed generators
Min, Hui
Wei, Chunzhen
PROCEEDINGS OF THE 33RD CHINESE CONTROL AND DECISION CONFERENCE (CCDC 2021), 2021, : 5530 - 5536
[8] Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators
Monia Karouf
Journal of Theoretical Probability, 2019, 32 : 216 - 248
[9] Lp-solutions of backward doubly stochastic differential equations with time delayed generators
Karouf, Monia
STOCHASTIC ANALYSIS AND APPLICATIONS, 2024, 42 (06) : 1156 - 1184
[10] Backward stochastic Volterra integral equations with time delayed generators
Coulibaly, Harouna
Aman, Auguste
ASIAN JOURNAL OF CONTROL, 2024, 26 (05) : 2719 - 2731

← 1 2 3 4 5 →