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Maximum principle for a stochastic delayed system involving terminal state constraints
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-delayed ba...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5420011/ https://www.ncbi.nlm.nih.gov/pubmed/28539753 http://dx.doi.org/10.1186/s13660-017-1378-z |