Risk-Sensitive Maximum Principle for Controlled System with Delay
Risk-sensitive maximum principle and verification theorem for controlled system with delay is obtained by virtue of classical convex variational technique. The prime feature in the research is that risk-sensitive parameter <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-02-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/4/1058 |
| Summary: | Risk-sensitive maximum principle and verification theorem for controlled system with delay is obtained by virtue of classical convex variational technique. The prime feature in the research is that risk-sensitive parameter <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>ϑ</mi></semantics></math></inline-formula> seriously affects adjoint equation and variational inequality. Moreover, a verification theorem of optimality is derived under some concavity conditions. An example is given to illustrate our theoretical result. |
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| ISSN: | 2227-7390 |