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Journal of Inequalities and Applications

, 2017:103

First Online: 05 May 2017Received: 24 January 2017Accepted: 21 April 2017DOI: 10.1186-s13660-017-1378-z

Cite this article as: Wen, J. & Shi, Y. J Inequal Appl 2017 2017: 103. doi:10.1186-s13660-017-1378-z

Abstract

We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-delayed backward stochastic differential equation. Then a stochastic maximum principle is obtained by virtue of Ekeland’s variational principle. Finally, applications to a state constrained stochastic delayed linear-quadratic control model and a production-consumption choice problem are studied to illustrate the main obtained result.

Keywordsstochastic differential delayed equation state constraints maximum principle MSC93E20 60H10 



Author: Jiaqiang Wen - Yufeng Shi

Source: https://link.springer.com/







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