Stochastic maximum principle for delayed backward doubly stochastic control systems
-
2065
Downloads
-
3410
Views
Authors
Jie Xu
- School of Mathematics, Jilin University, Changchun, 130012, China.
- College of Sciences, Jilin Institute of Chemical Technology, Jilin, 132022, China.
Yuecai Han
- School of Mathematics, Jilin University, Changchun, 130012, China.
Abstract
In this paper, we investigate a class of doubly stochastic optimal control problems that the state trajectory is described
by backward doubly stochastic differential equations with time delay. By means of martingale representation theorem and
contraction mapping principle, the existence and uniqueness of solution for the delayed backward doubly stochastic differential
equation can be guaranteed. When the control domain is convex, we deduce a stochastic maximum principle as a necessary
condition of the optimal control by using classical variational technique. At the same time, under certain assumptions, a sufficient
condition of optimality is obtained by using the duality method. In the last section, we give the explicit form of the optimal
control for delayed doubly stochastic linear quadratic optimal control problem by our stochastic maximal principle.
Share and Cite
ISRP Style
Jie Xu, Yuecai Han, Stochastic maximum principle for delayed backward doubly stochastic control systems, Journal of Nonlinear Sciences and Applications, 10 (2017), no. 1, 215--226
AMA Style
Xu Jie, Han Yuecai, Stochastic maximum principle for delayed backward doubly stochastic control systems. J. Nonlinear Sci. Appl. (2017); 10(1):215--226
Chicago/Turabian Style
Xu, Jie, Han, Yuecai. "Stochastic maximum principle for delayed backward doubly stochastic control systems." Journal of Nonlinear Sciences and Applications, 10, no. 1 (2017): 215--226
Keywords
- Stochastic maximum principle
- doubly stochastic differential equation
- time delay
- optimal control.
MSC
References
-
[1]
L. Chen, J.-H. Huang, Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation, J. Optim. Theory Appl., 167 (2015), 1112–1135.
-
[2]
L. Chen, Z. Wu, Maximum principle for the stochastic optimal control problem with delay and application, Automatica J. IFAC, 46 (2010), 1074–1080.
-
[3]
M. Hafayed, Singular mean-field optimal control for forward-backward stochastic systems and applications to finance, Int. J. Dyn. Control, 2 (2014), 542–554.
-
[4]
M. Hafayed, M. Ghebouli, S. Boukaf, Partial information optimal control of mean-field forwardbackward stochastic system driven by Teugels martingales with applications, Neurocomputing, 200 (2016), 11–21.
-
[5]
M. Hafayed, M. Tabet, S. Boukaf, Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem, Commun. Math. Stat., 3 (2015), 163–186.
-
[6]
Y.-C. Han, S.-G. Peng, Z. Wu, Maximum principle for backward doubly stochastic control systems with applications, SIAM J. Control Optim., 48 (2010), 4224–4241
-
[7]
J.-H. Huang, X. Li, J.-T. Shi, Forward-backward linear quadratic stochastic optimal control problem with delay, Systems Control Lett., 61 (2012), 623–630.
-
[8]
Q. Lin, A generalized existence theorem of backward doubly stochastic differential equations, Acta Math. Sin. (Engl. Ser.), 26 (2010), 1525–1534.
-
[9]
A. Matoussi, M. Scheutzow, Stochastic PDEs driven by nonlinear noise and backward doubly SDEs, J. Theoret. Probab., 15 (2002), 1–39.
-
[10]
D. Nualart, E. Pardoux , Stochastic calculus with anticipating integrands, Probab. Theory Related Fields, 78 (1988), 535–581.
-
[11]
É. Pardoux, S.-G. Peng, Backward doubly stochastic differential equations and systems of quasilinear SPDEs, Probab. Theory Related Fields, 98 (1994), 209–227.
-
[12]
S.-G. Peng, Y.-F. Shi, A type of time-symmetric forward-backward stochastic differential equations, C. R. Math. Acad. Sci. Paris, 336 (2003), 773–778.
-
[13]
S.-G. Peng, Z. Yang, Anticipated backward stochastic differential equations, Ann. Probab., 37 (2009), 877–902.
-
[14]
D. Revuz, M. Yor, Continuous martingales and Brownian motion , Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], Springer-Verlag, Berlin (1991)
-
[15]
Y.-F. Shi, Y.-L. Gu, K. Liu, Comparison theorems of backward doubly stochastic differential equations and applications, Stoch. Anal. Appl., 23 (2005), 97–110.
-
[16]
S. Wu, G.-C. Wang, Optimal control problem of backward stochastic differential delay equation under partial information, Systems Control Lett., 82 (2015), 71–78.
-
[17]
X.-M. Xu, Anticipated backward doubly stochastic differential equations, Appl. Math. Comput., 220 (2013), 53–62.
-
[18]
J.-M. Yong, Optimality variational principle for controlled forward-backward stochastic differential equations with mixed initial-terminal conditions, SIAM J. Control Optim., 48 (2010), 4119–4156.
-
[19]
F. Zhang, Anticipated backward doubly stochastic differential equations, (Chinese) J. Sci. Sin. Math., 43 (2013), 1223– 1236.