Optimal Control of Backward Stochastic Differential Equations with Time Delayed Generators
This paper is concerned with the optimal control problem for systems described by backward stochastic differential equations with time delayed generators. We prove a suf.cient maximum principle for a certain class of such systems. As an application, an optimal consumption problem from.nancial market is solved by our result and the explicit optimal consumption rate is obtained.
SHI Jingtao
School of Mathematics, Shandong University, Jinan 250100, P.R.China
国际会议
The 30th Chinese Control Conference(第三十届中国控制会议)
烟台
英文
1-5
2011-07-01（万方平台首次上网日期，不代表论文的发表时间）