Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
Work
Year: 2011
Type: article
Abstract: We study optimal control problems for (time-)delayed stochastic differential equations with jumps. We establish sufficient and necessary stochastic maximum principles for an optimal control of such sy... more
Source: Advances in Applied Probability
Authors Bernt Øksendal, Agnès Sulem, Tusheng Zhang
Institutions Norwegian School of Economics, University of Oslo, Institut national de recherche en informatique et en automatique, University of Manchester
Cites: 23
Cited by: 114
Related to: 10
FWCI: 5.864
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze