Maximum principle for near-optimality of stochastic delay control problem

被引：3

作者：

Zhang, Feng ^{[1
]}

机构：

[1] Shandong Univ Finance & Econ, Sch Math & Quantitat Econ, Jinan 250014, Peoples R China

来源：

ADVANCES IN DIFFERENCE EQUATIONS | 2017年

基金：

中国国家自然科学基金;

关键词：

maximum principle; near-optimal control; stochastic differential delay equation; Ekeland's variational principle; SUFFICIENT CONDITIONS; DIFFERENTIAL-EQUATIONS; SINGULAR CONTROLS; SYSTEMS; FINANCE;

D O I：

10.1186/s13662-017-1155-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper is concerned with near-optimality for stochastic control problems of linear delay systems with convex control domain and controlled diffusion. Necessary and sufficient conditions for a control to be near-optimal are established by Pontryagin's maximum principle together with Ekeland's variational principle.

引用

页数：19

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