Article ID Journal Published Year Pages File Type
697407 Automatica 2010 7 Pages PDF
Abstract

In this paper, we consider an optimal control problem for the stochastic system described by stochastic differential equations with delay. We obtain the maximum principle for the optimal control of this problem by virtue of the duality method and the anticipated backward stochastic differential equations. Our results can be applied to a production and consumption choice problem. The explicit optimal consumption rate is obtained.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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