Maximum principle for a stochastic delayed system involving terminal state constraints
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2017-05-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13660-017-1378-z |