Maximum principle for the stochastic optimal control problem with delay and application |
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Authors: | Li Chen [Author Vitae] [Author Vitae] |
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Affiliation: | School of Mathematics, Shandong University, Jinan 250100, China |
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Abstract: | In this paper, we consider an optimal control problem for the stochastic system described by stochastic differential equations with delay. We obtain the maximum principle for the optimal control of this problem by virtue of the duality method and the anticipated backward stochastic differential equations. Our results can be applied to a production and consumption choice problem. The explicit optimal consumption rate is obtained. |
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Keywords: | Stochastic differential equation with delay Anticipated backward stochastic differential equation Optimal control Maximum principle |
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