Maximum principle for near-optimality of stochastic delay control problem

Maximum principle for near-optimality of stochastic delay control problem

Abstract 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 Ekel...

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Bibliographic Details
Main Author: Feng Zhang
Format: Article
Language:English
Published: SpringerOpen 2017-03-01
Series:Advances in Difference Equations
Subjects:
maximum principle
near-optimal control
stochastic differential delay equation
Ekeland’s variational principle
Online Access:http://link.springer.com/article/10.1186/s13662-017-1155-9
Description
Summary:Abstract 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.
ISSN:1687-1847

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