Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach

被引：23

作者：

Pamen, Olivier Menoukeu ^{[1
]}

机构：

[1] Univ Liverpool, Dept Math, Inst Financial & Actuarial Math, Liverpool L69 7ZL, Merseyside, England

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2015年 / 167卷 / 03期

基金：

欧洲研究理事会;

关键词：

Model uncertainty; Optimal control; Stochastic differential utility; Stochastic delay equations; Time advanced BSDEs; Levy processes; MAXIMUM PRINCIPLE; TIME; UTILITY; OPTIMIZATION; MAXIMIZATION;

D O I：

10.1007/s10957-013-0484-4

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic differential equation with jumps. This problem can be written as a stochastic delayed differential game. We suggest a maximum principle of this problem and obtain necessary and sufficient condition of optimality. We apply the result to study a problem of consumption choice optimization under model uncertainty.

引用

页码：998 / 1031

页数：34

共 50 条

[21] STOCHASTIC CONTROL IN A DIFFERENTIAL GAME
BUSLAEVA, LT
PMM JOURNAL OF APPLIED MATHEMATICS AND MECHANICS, 1978, 42 (04): : 609 - 623
[22] Optimal control of stochastic delay differential equations: Optimal feedback controls
de Feo, Filippo
Swech, Andrzej
JOURNAL OF DIFFERENTIAL EQUATIONS, 2025, 420 : 450 - 508
[23] Stability analysis of nonlinear stochastic differential delay systems under impulsive control
Li, Chunxiang
Sun, Jitao
PHYSICS LETTERS A, 2010, 374 (09) : 1154 - 1158
[24] OPTIMAL PLAY IN A STOCHASTIC DIFFERENTIAL GAME
ELLIOTT, RJ
DAVIS, MHA
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1981, 19 (04) : 543 - 554
[25] Optimal control problem of backward stochastic differential delay equation under partial information
Wu, Shuang
Wang, Guangchen
SYSTEMS & CONTROL LETTERS, 2015, 82 : 71 - 78
[26] MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER MODEL UNCERTAINTY
Hu, Mingshang
Wang, Falei
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2020, 58 (03) : 1341 - 1370
[27] Robust control of parabolic stochastic partial differential equations under model uncertainty
Baltas, Ioannis
Xepapadeas, Anastasios
Yannacopoulos, Athanasios N.
EUROPEAN JOURNAL OF CONTROL, 2019, 46 : 1 - 13
[28] Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model
Ning Bin
Huainian Zhu
Chengke Zhang
Methodology and Computing in Applied Probability, 2023, 25
[29] Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model
Bin, Ning
Zhu, Huainian
Zhang, Chengke
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2023, 25 (02)
[30] Stochastic Optimal Control Problem in Advertising Model with Delay
Chen Li
Wu Zhen
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 33 (04) : 968 - 987

← 1 2 3 4 5 →