Maximum principle for optimal control of neutral stochastic functional differential systems

被引：0
|
作者：
WenNing Wei
机构：
[1] Fudan University,School of Mathematical Sciences
来源：
Science China Mathematics | 2015年 / 58卷
关键词：
neutral stochastic functional differential equation; neutral backward stochastic functional equation of Volterra type; stochastic optimal control; Pontryagin maximum principle; 93E20; 60H20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper is concerned with optimal control of neutral stochastic functional differential equations (NSFDEs). The Pontryagin maximum principle is proved for optimal control, where the adjoint equation is a linear neutral backward stochastic functional equation of Volterra type (VNBSFE). The existence and uniqueness of the solution are proved for the general nonlinear VNBSFEs. Under the convexity assumption of the Hamiltonian function, a sufficient condition for the optimality is addressed as well.
引用
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页码：1265 / 1284
页数：19
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