Neutral Backward Stochastic Functional Differential Equations and Their Application

Wenning Wei

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arXiv · 1301.3081

Neutral Backward Stochastic Functional Differential Equations and Their Application

Wenning Wei

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Abstract

In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an application, we discuss the optimal control of neutral stochastic functional differential equations, establish a Pontryagin maximum principle, and give an explicit optimal value for the linear optimal control.

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Wenning Wei. 2013-01-14. Neutral Backward Stochastic Functional Differential Equations and Their Application. https://arxiv.org/abs/1301.3081

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