Maximum principle for a stochastic delayed system involving terminal state constraints

[1]  Jiaqiang Wen,et al.  Anticipative backward stochastic differential equations driven by fractional Brownian motion , 2016, 1604.01847.

[2]  Qingmeng Wei Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints , 2016 .

[3]  C. Aghayeva Stochastic linear quadratic control problem of switching systems with constraints , 2016, Journal of Inequalities and Applications.

[4]  Li Juan,et al.  Stochastic Differential Games for Fully Coupled FBSDEs with Jumps , 2015 .

[5]  Qingxin Meng,et al.  Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach , 2015, J. Comput. Appl. Math..

[6]  Li Chen,et al.  Stochastic Maximum Principle for Controlled Backward Delayed System via Advanced Stochastic Differential Equation , 2014, Journal of Optimization Theory and Applications.

[7]  Shaolin Ji,et al.  A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints , 2013 .

[8]  Juan Li,et al.  Stochastic differential games for fully coupled FBSDEs with jumps , 2013, 1302.0938.

[9]  Juan Li,et al.  Lp estimates for fully coupled FBSDEs with jumps , 2013, 1302.0936.

[10]  Zhiyong Yu,et al.  The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls , 2012, Autom..

[11]  Yusong Li,et al.  Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models , 2012, 1210.0371.

[12]  Bernt Øksendal,et al.  A Maximum Principle for Infinite Horizon Delay Equations , 2012, SIAM J. Math. Anal..

[13]  Xun Li,et al.  Forward-backward linear quadratic stochastic optimal control problem with delay , 2012, Syst. Control. Lett..

[14]  B. Øksendal,et al.  Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations , 2011, Advances in Applied Probability.

[15]  X. Zhou,et al.  A generalized Neyman–Pearson lemma for g-probabilities , 2010 .

[16]  Zhen Wu,et al.  Maximum principle for the stochastic optimal control problem with delay and application , 2010, Autom..

[17]  Lukasz Delong,et al.  Backward stochastic differential equations with time delayed generators - results and counterexamples , 2010, 1005.4701.

[18]  P. Imkeller,et al.  On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures , 2010, 1005.4702.

[19]  S. Peng,et al.  Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection , 2008 .

[20]  S. Peng,et al.  Mean-field backward stochastic differential equations and related partial differential equations , 2007, 0711.2167.

[21]  Shige Peng,et al.  Anticipated backward stochastic differential equations , 2007, 0705.1822.

[22]  S. Peng,et al.  A dynamic maximum principle for the optimization of recursive utilities under constraints , 2001 .

[23]  X. Zhou,et al.  Stochastic Controls: Hamiltonian Systems and HJB Equations , 1999 .

[24]  G. Barles,et al.  Backward stochastic differential equations and integral-partial differential equations , 1997 .

[25]  S. Peng,et al.  Backward Stochastic Differential Equations in Finance , 1997 .

[26]  S. Peng,et al.  Adapted solution of a backward stochastic differential equation , 1990 .

[27]  F. Ramsey,et al.  THE MATHEMATICAL THEORY OF SAVING , 1928 .

[28]  Anatoli F. Ivanov,et al.  Optimal control of stochastic differential delay equations with application in economics , 2008 .

[29]  Xun Yu Zhou,et al.  A maximum principle for stochastic optimal control with terminal state constraints, and its applications , 2006, Commun. Inf. Syst..

[30]  Shige Peng,et al.  Probabilistic interpretation for systems of quasilinear parabolic partial differential equations , 1991 .