Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems

Wenning Wei

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arXiv · 1301.3086

Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems

Wenning Wei

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Abstract

In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the adjoint equation. The existence and uniqueness of VNBSFE is established. The Pontryagin maximum principle is constructed for controlled NSFDE with Lagrange type cost functional.

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Wenning Wei. 2013-01-14. Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems. https://arxiv.org/abs/1301.3086

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