Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems
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 e...
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| creator | Wei, Wenning |
| description | 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. |
| doi_str_mv | 10.48550/arxiv.1301.3086 |
| format | Article |
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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.</description><identifier>DOI: 10.48550/arxiv.1301.3086</identifier><language>eng</language><subject>Mathematics - Optimization and Control</subject><creationdate>2013-01</creationdate><rights>http://arxiv.org/licenses/nonexclusive-distrib/1.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,780,885</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/1301.3086$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.1301.3086$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Wei, Wenning</creatorcontrib><title>Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems</title><description>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.</description><subject>Mathematics - Optimization and Control</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNotjz1PwzAURb0woMLOhPwHEuy-2k5HFCggFYpEN4bIH8_CUhJHjoPaf08CTFc6urq6h5AbzspNJQS70-kUvksOjJfAKnlJPl_1KXRTR99T6G0YWqQ-JnoYcuh0S-vY5xRbGj19wymnGX3kaL_0mIOlu6m3OcR-pg_Be0zY57BUzmPGbrwiF163I17_54ocd4_H-rnYH55e6vt9oaWQBUfJwCtnjTLKi_VaotiYLTjNLTrmueRb5OAMs4IJDQ6EUawySoMCZTisyO3f7K9cM6T5eTo3i2SzSMIPCp9N5g</recordid><startdate>20130114</startdate><enddate>20130114</enddate><creator>Wei, Wenning</creator><scope>AKZ</scope><scope>GOX</scope></search><sort><creationdate>20130114</creationdate><title>Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems</title><author>Wei, Wenning</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a656-1e603f7dcb7b7f5226e54b93da1ced0f1619e13db0c505a3d35b708b7a3737b13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Mathematics - Optimization and Control</topic><toplevel>online_resources</toplevel><creatorcontrib>Wei, Wenning</creatorcontrib><collection>arXiv Mathematics</collection><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Wei, Wenning</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems</atitle><date>2013-01-14</date><risdate>2013</risdate><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.</abstract><doi>10.48550/arxiv.1301.3086</doi><oa>free_for_read</oa></addata></record> |
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| subjects | Mathematics - Optimization and Control |
| title | Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems |
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