Stochastic maximum principle for equations with delay: the non-convex case

2018/05/21 by Giuseppina Guatteri, Guatteri, Giuseppina, Federica Masiero +1 · 1 citation
Economics, Econometrics and Finance · #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1805.07957

openalex publication_date 2018/05/21 · openalex created_date 2018/06/01 · openalex updated_date 2026/07/28

Abstract

In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of controls u ∈ U with U not necessarily convex. The maximum principle is formulated by means of first and second order adjoint BSDEs. We also outline how to deal with control problems with pointwise delay both in the state and in the control.

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• A General Maximum Principle for Stochastic Systems with Delay

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