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
收藏
页码：1285 / 1289
页数：5
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