Add to ORKGWe prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our results by an application to the optimal consumption rate from an economic quantity
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite h...
We study a stochastic optimal control problem for a delayed Markov regime-switching jump-diffusion m...
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic di...
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. W...
We consider a problem of optimal control of an infinite horizon system governed by forward–backward ...
Abstract This paper is concerned with near-optimality for stochastic control problems of linear dela...
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryag...
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
In this paper, we consider optimal control problems derived by stochastic systems with delay, where ...
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum...
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite ho...
This paper extends optimal control theory to a class of infinite-horizon problems that arise in stud...
A maximum principle is proved for certain problems of continuous time stochastic control with hard e...
In this paper, we consider risk-sensitive optimal control for stochastic differential delayed equati...
The paper revisits the issue of necessary optimality conditions for infinitehorizon optimal control ...
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite h...
We study a stochastic optimal control problem for a delayed Markov regime-switching jump-diffusion m...
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic di...
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. W...
We consider a problem of optimal control of an infinite horizon system governed by forward–backward ...
Abstract This paper is concerned with near-optimality for stochastic control problems of linear dela...
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryag...
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
In this paper, we consider optimal control problems derived by stochastic systems with delay, where ...
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum...
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite ho...
This paper extends optimal control theory to a class of infinite-horizon problems that arise in stud...
A maximum principle is proved for certain problems of continuous time stochastic control with hard e...
In this paper, we consider risk-sensitive optimal control for stochastic differential delayed equati...
The paper revisits the issue of necessary optimality conditions for infinitehorizon optimal control ...
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite h...
We study a stochastic optimal control problem for a delayed Markov regime-switching jump-diffusion m...
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic di...