Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
ESAIM: COCV, 18 4 (2012) 1005-1026
Published online: 2012-01-16
Articles citing this article
The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).
Cited article:
This article has been cited by the following article(s):
Stochastic maximum principle for control systems with time-varying delay
Yuecai Han and Yuhang LiSystems & Control Letters 191 105864 (2024)
https://doi.org/10.1016/j.sysconle.2024.105864
Stochastic optimal control with random coefficients and associated stochastic Hamilton–Jacobi–Bellman equations
Jun MoonAdvances in Continuous and Discrete Models 2022 (1) (2022)
https://doi.org/10.1186/s13662-021-03674-5
Recurrent neural networks for stochastic control problems with delay
Jiequn Han and Ruimeng HuMathematics of Control, Signals, and Systems 33 (4) 775 (2021)
https://doi.org/10.1007/s00498-021-00300-3
Stochastic recursive optimal control problem with mixed delay under viscosity solution's framework
Weijun Meng and Jingtao ShiOptimal Control Applications and Methods 42 (2) 445 (2021)
https://doi.org/10.1002/oca.2682
978 (2020)
https://doi.org/10.23919/CCC50068.2020.9189469
Backward stochastic differential equations with non‐Lipschitz time delayed generators
Harouna Coulibaly and Auguste AmanAsian Journal of Control 22 (6) 2301 (2020)
https://doi.org/10.1002/asjc.2192
Dynamic Programming Principle and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Stochastic Recursive Control Problem with Non-Lipschitz Generator
Yu Zhuo, Yuchao Dong and Jiangyan PuApplied Mathematics & Optimization (2019)
https://doi.org/10.1007/s00245-018-9551-4
Singular optimal controls of stochastic recursive systems and Hamilton–Jacobi–Bellman inequality
Liangquan ZhangJournal of Differential Equations 266 (10) 6383 (2019)
https://doi.org/10.1016/j.jde.2018.11.006
Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
Jiangyan Pu and Qi ZhangESAIM: Control, Optimisation and Calculus of Variations 24 (1) 355 (2018)
https://doi.org/10.1051/cocv/2017016
The necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
Shuzhen YangSystems & Control Letters 114 11 (2018)
https://doi.org/10.1016/j.sysconle.2018.02.002
Near-maximum principle for general recursive utility optimal control problem
Shuzhen YangInternational Journal of Control 91 (10) 2187 (2018)
https://doi.org/10.1080/00207179.2017.1336670
Maximum principle for forward–backward SDEs with a general cost functional
Qiang Gao and Shuzhen YangInternational Journal of Control 90 (8) 1597 (2017)
https://doi.org/10.1080/00207179.2016.1214876
The maximum principle for stochastic differential systems with general cost functional
Shuzhen YangSystems & Control Letters 90 1 (2016)
https://doi.org/10.1016/j.sysconle.2016.01.001
Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems
Shaolin Ji, Lin Wang and Shuzhen YangOptimal Control Applications and Methods 36 (1) 109 (2015)
https://doi.org/10.1002/oca.2104
Solutions for functional fully coupled forward–backward stochastic differential equations
Shaolin Ji and Shuzhen YangStatistics & Probability Letters 99 70 (2015)
https://doi.org/10.1016/j.spl.2015.01.009
Stochastic recursive optimal control problem with time delay and applications
Jingtao Shi, Juanjuan Xu and Huanshui ZhangMathematical Control & Related Fields 5 (4) 859 (2015)
https://doi.org/10.3934/mcrf.2015.5.859
Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes
Na Li and Zhen WuApplied Mathematics-A Journal of Chinese Universities 29 (1) 67 (2014)
https://doi.org/10.1007/s11766-014-3171-9