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Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays

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  • Feng Zhang

    (Shandong University of Finance and Economics)

Abstract

This paper is to establish a sufficient maximum principle for one kind of stochastic optimal control problem with three types of delays: a discrete delay, a moving-average delay and a noisy memory. The main features of this research include the introduction of a unified adjoint equation and a simple method to get the adjoint process. One kind of optimal consumption problem and its special cases are studied as illustrative examples, for which the adjoint equations are solved with two different approaches and the optimal consumption strategies are obtained.

Suggested Citation

  • Feng Zhang, 2022. "Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays," Journal of Optimization Theory and Applications, Springer, vol. 192(2), pages 678-701, February.
    • Handle: RePEc:spr:joptap:v:192:y:2022:i:2:d:10.1007_s10957-021-01987-9
    DOI: 10.1007/s10957-021-01987-9
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    References listed on IDEAS

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    1. Emel Savku & Gerhard-Wilhelm Weber, 2018. "A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 696-721, November.
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    Cited by:

    1. Li Chen & Peipei Zhou & Hua Xiao, 2023. "Backward Stackelberg Games with Delay and Related Forward–Backward Stochastic Differential Equations," Mathematics, MDPI, vol. 11(13), pages 1-18, June.

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