Add to ORKGIn this paper, we consider risk-sensitive optimal control for stochastic differential delayed equations. We obtain necessary and sufficient conditions for optimality in terms of the coupled anticipated backward stochastic differential equations via the logarithmic transformation of the associated risk-neutral problem. As an application, we consider the risk-sensitive linear-quadratic optimal control with delay, for which we obtain an explicit optimal solution
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
Abstract. The paper is devoted to the study of optimal control of stochastic differential delay equa...
In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. ...
In this paper, we consider risk-sensitive optimal control for stochastic differential delayed equati...
This paper deals with the optimal control problem in which the controlled system is described by a f...
Abstract. This paper deals with the optimal control problem in which the controlled system is descri...
This paper deals with the optimal control problem in which the controlled system is descri...
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. W...
This paper uses the method of conjugate duality to investigate a class of stochastic optimal control...
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...
We prove a sufficient optimality condition for non-linear optimal control problems with delays in b...
In this paper, we study the problem of optimal control of backward stochastic differential equations...
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryag...
We give answer to an open question by proving a sufficient optimality condition for state-linear opt...
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
Abstract. The paper is devoted to the study of optimal control of stochastic differential delay equa...
In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. ...
In this paper, we consider risk-sensitive optimal control for stochastic differential delayed equati...
This paper deals with the optimal control problem in which the controlled system is described by a f...
Abstract. This paper deals with the optimal control problem in which the controlled system is descri...
This paper deals with the optimal control problem in which the controlled system is descri...
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. W...
This paper uses the method of conjugate duality to investigate a class of stochastic optimal control...
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...
We prove a sufficient optimality condition for non-linear optimal control problems with delays in b...
In this paper, we study the problem of optimal control of backward stochastic differential equations...
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryag...
We give answer to an open question by proving a sufficient optimality condition for state-linear opt...
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
Abstract. The paper is devoted to the study of optimal control of stochastic differential delay equa...
In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. ...