Maximum principle for near-optimality of stochastic delay control problem

被引：0
|
作者：
Feng Zhang
机构：
[1] Shandong University of Finance and Economics,School of Mathematics and Quantitative Economics
来源：
Advances in Difference Equations | / 2017卷
关键词：
maximum principle; near-optimal control; stochastic differential delay equation; Ekeland’s variational principle; 93Exx; 49Kxx; 60H30;
D O I：
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摘要：
This paper is concerned with near-optimality for stochastic control problems of linear delay systems with convex control domain and controlled diffusion. Necessary and sufficient conditions for a control to be near-optimal are established by Pontryagin’s maximum principle together with Ekeland’s variational principle.
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